Ferrari star Sainz, still in his team kit, was targeted near the Armani hotel in central Milan at around 8:30pm on Sunday evening, reports in Italy detail.
Sainz, alongside members of his entourage and the public, then chased the thieves and successfully recovered his Richard Mille watch worth in the region of £500,000.
Local police have arrested two suspects.
The unsavoury incident is a sour end to a largely encouraging weekend for Sainz – who was on pole after a storming performance in qualifying on Saturday – as the Spaniard was on the podium for the first time this season.
Spaniard driver Sainz, who celebrated his 29th birthday on Friday, finished Sunday’s race on the podium in third place, with Max Verstappen victorious at Monza.
It is not the first occasion an F1 driver has been targeted by thieves: Lando Norris had a £144,000 watch stolen outside Wembley following the Euro 2020 final between Italy and England in July 2021.
Norris was also robbed whilst with friends in Marbella earlier this year.
Sainz’s team-mate Charles Leclerc has also had a Richard Mille watch stolen, in the Italian resort of Viareggio last year.