The European champions announced police had been informed after it emerged some of their academy players had possessions stolen from their dressing room earlier this month.
A Chelsea spokesman said: "A number of personal items were recently stolen from the academy dressing room area.
"The matter is currently being investigated by the police.
"CCTV footage is being handed to them and confirms the thefts were carried out by a lone intruder not connected with the training ground site.
"Other local premises near to the training ground were targeted that day and may be connected.
"Nobody at Chelsea FC is under suspicion."
Reported to be among the items stolen were six wallets, nine mobile phones and several watches.
The theft is the latest incident at Chelsea's training ground to hit the headlines in the last year.
A knife was found in their academy dressing room earlier this year, the Blues claiming it had been mislaid by a workman.
Academy player Jacob Mellis also left the club after letting off a smoke bomb at the training ground.