The world number five had his suitcase taken as he stopped to sign an autograph and lost both his passport and a prize rosary that had been blessed by his Argentinian countryman Pope Francis.
Del Potro, who lost to Roger Federer in the quarter-finals of the Paris Masters on Friday, spent two hours talking to French police and sorting out paperwork before boarding the Eurostar and heading to the O2 Arena.
The 25-year-old said: "I don't know who asked me for an autograph but I turned round and they took my suitcase. But I got here and it happens in every country.
"I have my racquets and my clothes but nothing else. I lost personal things, my rosary that the Pope blessed in Rome, which is important to me. But it's over and I'm safe."
Del Potro's mood was not improved when he saw the draw for the eight-man end-of-season tournament, which begins on Monday.
He was placed in Group B along with Federer, second seed Novak Djokovic and Richard Gasquet. Group A features world number one Rafael Nadal, David Ferrer, Tomas Berdych and Stanislas Wawrinka.
It is the fourth year Del Potro has qualified for the World Tour Finals and the third time since the tournament moved to the O2 in 2009.
Last year he lost a close match against Djokovic in the semi-finals while in 2009, the year he won the US Open, he reached the final before losing to Nikolay Davydenko.
Del Potro said: "I just saw the draw. It's a tough group. I will have three finals for sure. Maybe the other guys are the favourites against me but at this tournament every player can beat everyone and I have to be ready for them.
"I like to play here, I've always played good tennis. I feel something special with the fans here, they respect me a lot and I enjoy it. I will try to play even better than Wimbledon."
This has been Del Potro's best season since 2009, with the Argentinian winning four titles and coming desperately close to reaching the Wimbledon final only for Djokovic to triumph in five epic sets.
Two of his tournament victories have come in the last month, in Toyko and Basle, while he also beat Rafael Nadal to make the final of the Shanghai Masters.
Del Potro looked weary in losing to Federer on Friday, and he said: "I'm feeling tired; it's normal, I've played 18 matches in only one month, travelling to China, Europe and Argentina in the middle.
"But I'm doing well and I'm excited to get ready for this tournament and I know it's the last effort of the year. I will try to play at the same level I've been playing the last few weeks."
Del Potro will open his campaign on Monday evening against Gasquet, who he has beaten in five of their six previous meetings.