Another sports superstar's home has been broken into ... this time, a residence belonging to NHLer Evgeni Malkin was hit -- and, reportedly, his Stanley Cup rings were stolen in the heist.

The burglary happened on Jan. 11 in the Sewickley Heights-area of Pennsylvania -- right around the time Malkin's Penguins were playing the Ottawa Senators at PPG Paints Arena in Pittsburgh.

Malkin's home security system had somehow been down during the break-in, according to CBS News, and all three of his championship rings were subsequently taken.

A spokesperson for the Allegheny County Police Department tells TMZ Sports they've launched an investigation into the incident ... and are urging anyone with info to call their tip line at 1-833-ALL-TIPS.

For the Penguins' part, they said in a statement Tuesday they're "working closely with local authorities and team security" to try to ID some suspects.

"Malkin has requested that his privacy be respected during this time," the team added, "and we will have no further comment on the matter."

Malkin -- who didn't play Saturday while dealing with an injury -- now, unfortunately, joins a long list of celeb athletes who have had burglaries take place at their homes in the last few months.

Travis Kelce, Patrick Mahomes, Joe Burrow, Luka Doncic and a host of others have all had places ransacked ... and the FBI said in a warning to pro stars last month that it believes they're all connected.