Former MLB Star Brad Penny -- Cops Called to L.A. Home for Possible Burglary

Brad Penny heard something go bump in the night and called cops to his Los Angeles area home at 4:00 AM, but they found nothing ... TMZ has learned.

Law enforcement sources tell TMZ ... Penny heard a noise in the wee hours of Saturday morning and thought it was a burglar. We're told Penny called 911, but then headed downstairs to investigate further. According to our sources, by the time Penny got downstairs ... if there was an intruder, he or she was gone.

The L.A. County Sheriff responded and took a report and are currently investigating.