Posting on an Instagram account, Gigi Hadid told her fans she "wouldn't recommend" going to the Greek island, after their belongings were stolen from their apartment one evening.
On Instagram, Gigi posted: "Mykonos film in.
"PS(A). Don't let insta fool u. Got robbed. Never going back lol. Wouldn't recommend. Spend your money elsewhere."
TMZ spoke to the models' father who said they were out when the villa they were staying in was burgled, and said some personal belongings were stolen, but no one was hurt.
Sources told TMZ items left behind were scattered around the villa, while expensive belongings were taken.
The sisters were in Mykonos for older sister Alana's birthday celebrations.
However they were reportedly too shaken to finish off their trip and chartered a private jet home.
But Alana still posted it had been her "best birthday ever", commenting on a picture her sister Gigi had taken on the big day itself.
She also wrote it was "this crazy, amazing, magical, insane, unforgettable trip".