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.
Defending Open champion Henrik Stenson's rental home was burgled as he played his first round at Royal Birkdale on Thursday.