Two masked men forced their way into Martin's home in the Denver suburb of Aurora on Sunday night when he was with the team at the AFC championship game.
Police spokeswoman Cassidee Carlson said Tuesday that the men held an adult woman and some children at gunpoint but wouldn't confirm whether they were members of Martin's family.
Police don't have good descriptions of the two men and aren't sure yet whether Martin was targeted.
Carlson said the men took some valuables but left other items behind. She wouldn't describe what was taken.
Martin attended Denver's Thomas Jefferson High School and played football at the University of Wyoming.