Law enforcement sources tell TMZ ... Dan's San Fernando Valley home was first burglarized a couple weeks ago when thieves broke in through a door and stole around $40,000 worth of watches.

We're told later that night -- around 3:30 AM -- burglars smashed a window and Fogelman came out yelling something ... scaring them away empty-handed.

And, for the trifecta ... our sources say Dan's home was hit again Thursday night -- while he was attending the premiere of this new film, "Life Itself" -- which set off his alarm.

We're told the burglars smashed another window in the back of his house to get in and rummaged through Dan's things. It's unclear if anything was taken, but when police arrived the suspects were gone.

Interesting note -- our sources say while cops were checking out the scene ... Dan's neighbor, Steve Carell, drove by to check on the situation after cops arrived.

Cops are investigating the burglaries ... and we're told they believe all 3 are related.

As we've reported ... Dan's not the only celeb in the area to fall victim to a burglary. In fact, he's not even the only one to have it happen multiple times.