The Brazilian was on the bench for Real Madrid when thieves entered his home through a third-floor bathroom window and ransacked Militao's bedroom. Bags, watches and jewellery were stolen.
Militao's family were in the house watching the Clasico match on the ground floor and did not notice anything suspicious.
The burglary was the latest in a series targeting high-profile footballers in Spain in recent years.
Former Barcelona forward Pierre-Emerick Aubameyang suffered a broken jaw during an armed robbery in 2022. Real Betis striker Troy Parrott and former PSG goalkeeper Sergio Rico were victims of robberies this month.