The 27-year-old posted a picture of himself on his Instagram account with a cut above and bruising around his right eye.
In an accompanying post, Cancelo wrote: “Unfortunately today I was assaulted by four cowards who hurt me and tried to hurt my family.
“When you show resistance this is what happens. They managed to take all my jewellery and leave me with my face in this state.
“The most important thing for me is my family and luckily they are all OK,” added Cancelo.
Manchester City said they were “shocked and appalled” to learn of Thursday’s incident.
“Joao and his family are being supported by the Club and he is helping the police with their enquiries as they investigate this very serious matter,” the club wrote in a statement.
Greater Manchester Police was not immediately available for comment when contacted by CNN.
Cancelo was signed by City from Juventus for $71 million in 2019 and has since become an integral member of Pep Guardiola’s team.
Cancelo completed the the full 90 minutes for City on Wednesday as they defeated Brentford 1-0 to move eight points clear at the top of the table.