Four men armed with knives stormed into his north-west London home and held his wife and children before making off with personal possessions.
The 50-year-old pundit, who was in Brazil working for ITV at the World Cup, last night tweeted: "You won't get away with it."
A spokeswoman for Wright today said his wife Nancy was "really shaken up" and he was flying back home to be with his family.
She said: "Nancy is really shaken up. Their kids are so young that hopefully they aren't going to read into it too much. They are all physically okay - Nancy and the kids.
"Ian is just really upset and angry and just wants to come back and be with his family at this time."
She added: "We are very grateful to ITV for being so supportive and getting him back so quickly."
His wife, 39, is thought to have been put in a bedroom while the couple's two girls were taken to another room.
The Sun reported that a blade was held to her throat during the ordeal, while one of the robbers shouted: "If you don't tell us where the safe is we'll cut off your kids' fingers."
A spokeswoman for Wright today said: "I do believe they threatened to cut off fingers, I don't know if it was the children's or Nancy's."
Neighbours of the former Arsenal striker described how two police cars screeched up after the robbery and the road was "teeming" with officers.
Next-door neighbour Marianne Collinge, 70, said: "I suppose they could be a bit of a target because they do have beautiful cars.
"But they are very unpretentious people. They are one of us and I'm terribly sorry for them, it's awful."
Chris Martin, a neighbour in his 50s, said: "We were watching the Spain game when the police arrived last night and that's all we know about it.
"Ian is a neighbour and a decent family man. He's been living here several years and everyone around here respects his privacy."
Wellwishers today took flowers to Wright's door and posted messages through his letterbox, while police made door-to-door inquiries.
Scotland Yard said it was investigating an aggravated burglary at an address in north-west London after they were called at 9.20pm last night.
Four men, believed to be armed with knives, forced their way inside the house and stole a number of items, including personal property and jewellery, a police spokesman said.
The suspects are described as black, aged between 18 and 25, with London accents, wearing dark clothing and hoodies obscuring their faces, he added.
No arrests have been made.
Detective Chief Inspector Mick Gornall, who is leading the investigation, said: "We are trying to trace these four men, and I'd ask anyone who may know anything to get in touch with my team and help us.
"Fortunately no one was injured during the burglary, but it is still very frightening to have people force their way into your home and threaten you.
"Last night officers went to the address and started carrying out house-to-house inquiries. We are also seizing and reviewing CCTV."
An ITV spokesman said: "Ian travelled home immediately to be with his family on hearing the shocking news. Our thoughts and best wishes are with them."
Wright made no comment to reporters as he arrived home in a silver Audi saloon.
He kept his head down and looked at his phone as he rushed into the end-of- terrace house.
Detectives had arrived a little earlier and were allowed in by his wife.
Read about the other top footballers who have been targeted by thieves here