Insigne was driving with his wife and two friends late on Saturday when he stopped at a traffic light. A gunman on the back of a motorbike pulled level with the car and forced the four occupants to hand over their valuables.
As he drove away, the thief asked Insigne, who comes from Naples, to dedicate a goal to him at Monday night's Serie A clash with Fiorentina, local media reported.
Italian media said the masked robber got away with a Rolex watch, jewels and 800 euros ($872.48) in cash.
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"Lorenzo suffered a terrible experience and told me that it was a really bad moment," said his agent, Antonio Ottaiano.
Despite being shaken up by the robbery, Insigne joined his teammates at a training session on Sunday and is expected to play on Monday. He has scored 11 goals in the Serie A so far this season, with his team lying second in the table.
The Italian government announced earlier this month it was sending additional troops to Naples to help fight an upsurge of violence in the city, with 12 people reported killed this year in murders linked to a mob turf war.
($1 = 0.9169 euros)
(Writing by Crispian Balmer; editing by Ralph Boulton)
