Law enforcement sources tell us Jackson and his wife, Halima Rashid, claim in the report -- filed with the L.A. County Sheriff's Department -- someone took a Louis Vuitton bag containing the treasure trove from their Calabasas home back in September.
The home -- which Jermaine rents -- is in the same gated community Katherine Jackson is temporarily living in while her Encino home undergoes extensive renovation.
We're told Jermaine claimed the bag contained some ultra-expensive watches, among other pricey items. Our law enforcement sources say the case is under investigation ... but so far no suspects.
A week before Jackson filed the police report, he filed docs in his child support case -- claiming he couldn't afford the $3,000/month for his kids, Jaafar and Jermajesty. He'd like the payment reduced to $215 a month.
It doesn't take a mathematician to figure this one out.