Scholes left the engine running to melt ice on his grey Chevrolet Captiva Estate while it was parked on his driveway and nipped back inside his home in Oldham, Greater Manchester.
When he returned, the car had been stolen. The incident happened on Monday morning between 7.45am and 8am, Greater Manchester Police said.
A spokesman said: "Police are investigating after a car was stolen while the owner was defrosting the vehicle.
"The grey Chevrolet Estate was stolen from the drive of a house in the Greenfield area of Oldham between 7.45am and 8am on Monday 28 January 2013. Inquiries to locate the car are ongoing."