If it was after the Closing, you were the owner and your insurance would be responsible.
If it was before closing, the Seller's would be responsible.
What does the Police Report say?
Good luck and may God bless
As the other agents have advised, please report this to the police department.
Why did you not do a final walk through?
Why were you not given keys or asked for keys at the closing?
Were you represented by an attorney?
Did you purchase this home directly or were you represented by a real estate agent?
You have to accept some responsibility for not doing a final walk through when if had already been burglarized you would have known this and been able to address it with the Seller prior to agreeing to close. As it is, you don't really know when the burglary took place as it could have happend after the closing and before you were given access to the home.
I feel for you, but I suspect it's likely going to end up costing you.
As Ron mentions, there are a number of factors to consider. The fact that you did not elect to do a final walk through may have clarified this if the event took place prior to closing.
If you have not reported it to the police it would be advisable to do so ASAP and proceed from there.