The Guardian reported that the victim had been held up at gunpoint while enjoying a night on the town in the early hours of Tuesday morning.
A spokesman for the British Olympic team confirmed an "incident of theft", adding: "All members of our delegation, including the individual concerned, are accounted for, and are safe and well."
GB took 366 athletes to Rio.
They have since been reminded of security protocols including not to wear official GB kit outside of the Olympic Village and not to take local taxis, according to the Guardian.
It said a letter from GB officials stopped short of issuing a curfew on athletes, but warned them not to carry any valuables and to inform team management of any plans to stay in Rio overnight.
United States swimmers Ryan Lochte, James Feigen, Gunnar Bentz and Jack Conger have claimed they were robbed in a taxi at gunpoint in Rio on Sunday but police have queried their accounts.
A Team GB athlete has been robbed while returning to their accommodation at the Olympic Games in Rio.