“Just had my watch taken off me at gun point in East London, Leyton,” Khan wrote on Twitter.
“I crossed the road with Faryal, luckily she was few steps behind me. 2 men ran to me, he asked for my watch whist having a gun pointed in my face. The main thing is we’re both safe.”
The Metropolitan Police said in a statement sent to CNN that they had been called just after 9 p.m. on Monday to Leyton in east London.
“A man aged in his 30s is alleged to have been approached by two males who threatened him with a firearm before stealing his watch and fleeing,” the statement read.
“There were no reports of any shots fired or any injuries. Police responded and conducted an area search. At this very early stage there have been no arrests.
“An investigation has begun and police are following a number of enquiries.”
Khan last fought back in February when he was beaten by Kell Brook via a stoppage in Manchester.
Now 35, Khan won Olympic silver for Great Britain in 2004 as a 17-year-old and as a professional was crowned world champion after winning the WBA light-welterweight title in 2009.