The incident happened early on Thursday morning, shortly before the couple were due to leave the Cote d’Azur in the south of France and return to the UK.
Writing in the Daily Telegraph, Walden recalled waking at 6.15am to prepare to check out of the property.
The journalist, who has been married to the Good Morning Britain presenter since 2010, said she discovered her handbag on the sofa and her jewellery box lying empty beside it.
Walden said she felt a “stomach-plummeting sense of violation” at the actions of the “depraved and despicable, inhuman” thieves.
Among the stolen items were a number of sentimental pieces including an art deco ring Morgan bought her on their fifth wedding anniversary.
Walden said: “I knew the second I walked into the sitting room that something was wrong.
“The previous night had been spent getting our rented house ready for checkout – but the place was a mess.
“My handbag was upside-down on the sofa, the box I keep my jewellery in lying empty beside it.
“The up-turned handbag found in the sitting room had originally been on a chair in our bedroom.
“They must have crept in there and stood inches away from us while we slept.”
Police said they believed the thieves left the villa after hearing Walden press the snooze button on her alarm.
Morgan, 55, has three sons with his ex-wife and a daughter with Walden.
