The Manchester heavyweight was stopped by armed police on his way to his training camp here.
Fury, 24, who is putting finishing touches to preparations for next month's fight against Vinny Maddalone, said: "I couldn't believe it.
"Me, my trainer and three more of my team were ordered to stop in my BMW.
"There were eight police shouting and pointing their guns at us.
"The police helicopter was whirring above us as we were ordered to lay face down in the dirt.
"Some guys in a bar had given the police a description of the robbers and apparently it matched us in our X5 BMW.
"I was shocked but I kept calm because I knew we had done nothing wrong."
The nightmare continued when Fury and his pals were thrown into separate cells and had their clothes confiscated.
He added: "At first they didn't believe me when I said I was a British boxer.
"I was standing there in only my underpants telling them I had nothing to do with the robbery. Eventually, after 11 hours they allowed us to leave.
"They apologised but I walked back to the car, thinking it was the strangest thing that has ever happened to me."
