Insigne, who has hit 11 league goals for Maurizio Sarri's title-challengers this season, was returning from a dinner with friends in his car on Saturday night when armed thieves struck.
According to Gazzetta dello Sport, the thieves followed Insigne on two scooters before stopping his car, putting a gun to his face and robbing him and his companions of a luxury watch, cash and other valuables.
Reports elsewhere claimed one of the thieves, before fleeing the scene of the crime, told Insigne: "Dedicate a goal to me in the next match."
Former Napoli players Valon Behrami, Juan Zuniga and current captain Marek Hamsik have all fallen victims to armed robbers in the southern city of Naples, where Napoli are based.
The incident comes as Napoli -- who famously won their two league titles, in 1987 and 1990, when Argentine legend Diego Maradona was at the club -- enjoy one of their strongest seasons in years.
With 12 games remaining the Azzurri sit just one point behind four-time consecutive champions Juventus.
Juventus host Inter Milan later Sunday in the 'Derby d'Italia' looking to stretch their lead to four points before Napoli go to fourth-placed Fiorentina on Monday.