The 32-year-old actor says a man carrying a gun took his wallet and other personal property at about 1:20 a.m. in the nation's capital, according to TMZ.
The Metropolitan Police Department would not confirm the report or release the name of the victim, as the investigation is continuing.
Penn (real name: Kalpen Modi) left House in April 2009 to take a post in the Obama administration, becoming associate director of the White House Office of Public Engagement. It was announced earlier this month that Penn will leave his post this year to return to acting.
His next project, a third Harold and Kumar film, is set to begin shooting in June.