The 48-year-old Irishman's custom-made golf clubs, travel documents and passport were also taken ahead of his appearance in this week's AT&T Pebble Beach National Pro-Am.
"I was disappointed," McGinley told the newspaper. "All my stuff was taken.
"I had only been in the country an hour and a half. It can happen in any country, or city, in the world. I thought it was safe and it didn't cross my mind."
McGinley stood down as captain after Europe beat the United States in the Ryder Cup in Scotland in September and is on a five-man panel that is due to announce his successor in the next few weeks.
The $6.8 million Pebble Beach tournament starts on Thursday.
(Writing by Tony Jimenez, editing by Ken Ferris)
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