The 25-year-old was reportedly stopped by a man on a motorbike in an underground car park in the Chamberi district, claim Spanish newspaper El Mundo.
The robber is said to have shouted, “give me your watch,” with Koke, short for Jorge Resurreccion, handing over his timepiece.
The incident occurred at 7pm local time with police on the lookout for the assailant.
The man is reported to have followed Koke into the car park and caught the Furia Roja midfielder off guard as he wound down his window for the ticket barrier.
Koke will play for Los Colchoneros in the Madrid derby this weekend before the huge Champions League quarter-final tie with Leicester on Wednesday.