A New York City Police Department spokesperson said that the women came back to Williams' Manhattan apartment early Saturday morning after they were out with Williams and his friends.
The spokesperson said Williams contacted police after waking up later Saturday and realizing that the valuables were missing.
"I don't want to talk about it," Williams told The New York Post after the Knicks' win over the Bulls at Madison Square Garden on Saturday night. "It's still up in the air."
Sources told The Post that police are investigating whether the theft is part of a pattern of robberies committed by young women who prey on wealthy men at clubs and hotel bars.
The Knicks played the 76ers on Friday night in Philadelphia and returned to New York after the game. Williams scored nine points and grabbed six rebounds in the Knicks' win over the Chicago Bulls on Saturday night.
Information from ESPN.com's Ian Begley was used in this report.