Balotelli was out at dinner with his brother Enoch and came home to discover he had been burgled.
The car was later found abandoned.
Balotelli wrote Saturday on Twitter: "I feel empty! No emotions ... But always fighting for the few people I love. They deserve it."
The incident comes shortly after someone tried to steal Balotelli's phone outside a nightclub, sparking a brawl as he chased the thief down.