The heartless crooks broke into her brother's car and swiped a laptop which contained treasured snaps of Rosie, it is believed.
The sentimental loss is all the more painful for the wife Man United star Wayne Rooney, as it happened just days after the anniversary of Rosie's birthday.
She would have celebrated her 19th birthday last week.
Last month was also the fourth anniversary of Rosie's death in January 2013.
She lost her battle with brain disorder Rett syndrome aged just 14.
The theft is believed to have happened while her brother's car was in the car park of a gym in Speke, Liverpool.
A source said: Coleen and her brother are devastated to lose the photographs of Rosie.
"The timing is difficult. It was her birthday last week and anniversary of her death last month.
"They are praying someone will turn in the laptop."