Wright, 50, was covering the finals in Brazil when four men armed with knives broke into his house in north-west London and threatened his wife and two children.
Scotland Yard said they were investigating the incident, which also saw personal possessions taken, ITV said on their website (www.itv.com).
"You won't get away with it," Wright commented on his Twitter account.
The former footballer's manager Steve Kutner told The Sun newspaper: "It was a terrifying ordeal. They marched Ian's wife from room to room".
(Reporting by Josh Reich, editing by Tony Jimenez)
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