Beverly Hills police said they're actively investigating the burglary that occurred Friday.
McHugh reported to police that a burglary occurred in her room sometime during the evening hours.
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A preliminary investigation indicates the suspect or suspects somehow accessed the unoccupied room and stole several items of jewelry valued at approximately $165,000, police said.
No suspect information was immediately available.
Several media outlets report the couple is getting married this weekend.
Anyone with information about the burglary was encouraged to contact the Beverly Hills Police Department at (310) 285-2158.
Stamos stars in Netflix's "Fuller House" and spent part of last year with The Beach Boys as a drummer. McHugh has had guest spots on "The Vampire Diaries" and "NCIS: Los Angeles."
The Associated Press contributed to this report.