The break-in was reported at the Palace Station casino late Thursday night, police spokesman Jose Montoya said. He said the break-in involved sports collectibles, but he declined to elaborate.
Simpson was released and is believed to be in Las Vegas, Montoya said.
"We don't believe he's going anywhere," he said.
The Heisman Trophy winner, ex-NFL star and actor had been scheduled to give a deposition Friday in Miami in a bankruptcy case involving his eldest daughter. But it was rescheduled because Simpson had told attorneys that he would be out of town.
Simpson lives near Miami and has been a tabloid staple since his ex-wife, Nicole Brown Simpson, and her friend Ron Goldman were killed in 1994. Simpson was acquitted of murder charges, but a jury later held him liable for the killings in a wrongful death lawsuit.
Investigators in the casino case planned to give their report to prosecutors Friday, Montoya said. The district attorney's office will decide whether to pursue charges.
A Simpson attorney in Florida, Yale L. Galanter, did not immediately return phone messages seeking comment.
The Palace Station, an aging property just west of the Las Vegas Strip, is one of several Station Casinos-owned resorts that cater to locals. The 1,000-room hotel-casino, with a 21-story tower and adjacent buildings, opened in 1976.
A company spokeswoman did not immediately return a call for comment.