The Swede said valuable personal items and all of his clothing were taken, but added that the Claret Jug, awarded to the winner of The Open, had already been returned to the R&A on Monday.
"I am extremely grateful my family were not in the house," said Stenson, 41.
"I am going to try not to let this spoil the week in any way."
Merseyside Police are investigating a burglary in Formby, less than seven miles from Royal Birkdale.
Police believe the incident occurred between midday and 14:25 BST and cash, cards, electrical items, clothes and watches were stolen.
An R&A spokesperson said: "We were very sorry to hear about the burglary and have offered any assistance we can provide to Henrik and his family."
Stenson teed off at 09:47 BST on Thursday and finished on one under par.
He was a late starter as Friday's second round got under way.

While visiting Towers Residential Outdoor Education Centre in Betws-y-Coed, Conwy, the royal couple ascended a climbing wall.
Earlier, they visited a photography project run by charity Mind in Caernarfon, Gwynedd.
They also saw the work of GISDA which provides training for young people.
Twm Griffiths, who works at the charity's training centre in Caernarfon, said the couple were rushed off their feet.
He said: "They didn't have time for a coffee. They have a very busy day."
Afterwards, the couple visited the Men's Shed in Denbigh, Denbighshire - a social group involved in community projects.
The pair chatted with a small crowd outside, including four-year-old Esme who presented Prince William with flowers and asked about Prince George.
William said his son was "loud" and thanked her for the flowers, which he said he would give to Catherine.
Men's Shed director Phil Williams said the couple were given a tour of facilities, including an allotment and a woodwork workshop, and were very interested in the project.
Member Alan Maddocks presented them with a gavel and bowl which he carved on a lathe, a skill he has learned since joining the group.
"They were very friendly. On the way out they both shook my hand," he said.
Defending Open champion Henrik Stenson's rental home was burgled as he played his first round at Royal Birkdale on Thursday.
[NEXT_CONCEPT]
The Duke and Duchess of Cambridge have been in north Wales to meet organisations which support young people and tackle mental health issues.