Police say the X-Men actress told officers that when she came home on Saturday, she found a children's book that didn't belong to her near her bed.
Police say the book, The Lonely Doll, was on a shelf beside her bed.
It's about a doll that wants to play with someone and is friended by two Teddy bears.
Police say there was no sign of forced entry, and the apartment wasn't in disarray.
It wasn't clear if anything was taken.
Janssen told authorities she's the only one with access to her penthouse.