The couple's hotel room was broken into after Westfeldt's purse was stolen in a restaurant, Life & Style reports.
Westfeldt has allegedly confirmed the reports, explaining that the police are looking into the incident.
"What a mess," she is quoted as saying. "[I'm not feeling] great. It is under investigation."
Meanwhile, a source said: "They were dining at a restaurant and Jennifer's purse was snagged by someone. That person took the hotel key in Jennifer's purse, which had the hotel name on it, and robbed their room. They had to contact the police, it was horrible."
Watch Jon Hamm speaking about Friends With Kids, which was directed by Jennifer Westfeldt, below: