"I would like to express my gratitude to the Allegheny County Police, the Sewickley Heights Police and the entire Penguins organization. The outpouring of support and concern from my teammates and fans over the past few days means so much to my family and I."
The investigation into the burglary remains ongoing, according to police, who did not say whether any suspects had been identified.
Malkin's home security system was down and his safe was left open at the time of the burglary.
The FBI has warned sports leagues about crime organizations targeting professional athletes. The NFL and NBA also issued security alerts to their players.
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