Later that day, the Spanish winger posted a story on Instagram which read: "Everything OK in Milan? Two guys just robbed me with a gun in my face."
He followed it up with another message, which read: "Anyway, everything is OK. They just took my watch, I'm OK, thank you."
Castillejo was in his car when he stopped at some traffic lights and two men approached and took his watch.
The Rossoneri had made an underwhelming start to the 2019-20 campaign which saw newly-appointed manager Marco Giampaolo sacked after just seven matches in charge and replaced by Stefano Pioli.
However, a recent upturn in form has seen them rise to seventh in the table and in contention for a Europa League place.
Serie A will restart on June 20 following a three-month stoppage due to the coronavirus outbreak, but Milan, Juventus, Inter and Napoli are due to begin a week earlier for the Coppa Italia. The semifinal second legs and final are expected to take place between June 12 and 17.
Sources have told ESPN the two Milan clubs are unhappy at the proposal to finish the competition in such a short space of time before the season restarts.