The sportsman, his wife Nicole and children Archibald and Harvey were in France for the Criterium du Dauphine race when intruders broke into their home in Girona, Spain.
They took mementos of Millar's career, including a specially made watch which was given to him by fellow cyclist Mark Cavendish, as well as a laptop and cameras containing all of the family's personal photos.
News of the robbery broke on Twitter when Millar told his followers about what had happened.
The cyclist wrote: "Nothing quite like coming home from Dauphine and finding your house ransacked by thieves. I pity the fools."
He later added: "Coming to terms with robbery. Computers with kids' photos gone. Irreplaceable watches gone. Career souvenirs for boys gone. Sharp TVs gone!
"List goes on. Really not very cool. You will be found scumbags, the Mossos d'Esquadra (Catalan police squad) are not amused."
The cyclist's sister, Fran Millar, also revealed that the family were not insured as they are due to move house soon and had transferred their insurance over to the new property.
Ms Millar, head of business operations at Team Sky, said: "The break-in was discovered when the cleaner went to the house on Monday and found it had been ransacked.
"Nicole was due to return home that day and she had to make the journey back knowing she was going home to a house which had been completely ransacked.
"It's just absolutely heartbreaking for them and the worst of it is he wasn't insured.
"There's been a problem where they have transferred over the insurance to the new house so they are not covered.
"But the saddest thing is that David had made a bag for each of the boys, he had saved jerseys from his races and other memorabilia, and they have been taken.
"A laptop that Nicole used to store pictures of the kids has also been taken, along with all their cameras. They have lost all of those priceless photos, as well as photos from their honeymoon.
"They can't be replaced, Nicole is absolutely devastated."
Millar, who will form part of Scotland's Commonwealth Games cycling team in July,and who won gold at the Delhi Games in 2010, is due to retire at the end of this season.
He is riding his final year with the Garmin-Sharp team and was competing with the team when his house was targeted.
Ms Millar said it was likely that the property was specifically attacked because thieves knew the family were away.
She added: "The items that have been taken are irreplaceable, like the watch which Mark Cavendish gave him after they won the world championship in Copenhagen. It's personally inscribed with the date and everything. There's not another one like it.
"Our grandad also had two Omega watches and one was given to me and one was given to David and his is now gone.
"Both of the watches which were stolen were stored in a safe and they've taken the safe."
Ms Miller added that many of the items stolen are distinctive and are not of any value unless they are sold on.
She said: "We want people to keep their eyes open for anything Millar related on ebay or sites like that. David doesn't sell his jerseys, so if they are up for sale, they have been stolen."