“I’d like to thank everyone for your well wishes and support,” Smalling said in a post on Twitter.
“My family although very shaken up are luckily unharmed!
“Hoping these people can find a more meaningful way to live their lives without causing such harm and distress to others.”
Smalling was in his Rome home with his wife and son and other family members.
Because of a knee injury he did not play in Thursday night’s home 1-1 Europa League tie against Ajax, which saw the Italian side qualify for the semi-finals where they will meet Smalling’s former club Manchester United.
In the autumn, Roma coach Paulo Fonseca and Lazio Rome player Joaquin Correa were also victims of burglaries while they were away with their teams.
Smalling, who earned 31 caps for England, joined Roma from United in October 2020 on a permanent deal, having spent the previous season on loan.
Fonseca said on Saturday that Smalling was back training.
“We are assessing his situation every day. He’s started training out on the pitch again,” said Fonseca.
“Let’s see. When he has confidence in his ability to return, he will return. But I think he is doing a lot better.”
Seventh-placed Roma travel to Torino on Sunday in Serie A looking to close in on the European places.