NBA Star Andrei Kirilenko Opens Up About Burglary -- I'm Most Upset About ...

NBA star Andrei Kirilenko says he's shocked that burglars broke into his Salt Lake City home and jacked a bunch of his stuff last week -- telling TMZ Sports they took a few special items that made him really upset.

The Brooklyn Nets player was heading to the Celebrity Dodge Barrage charity event at Basketball City in NYC -- when he opened up about the incident ... saying, "I know Utah is the safest place in the world and I'm very surprised it happened there."

Overall, AK47 (who played for the Jazz for 10 years) says he's staying positive about the incident -- even though cops have yet to make an arrest -- but it's clear he's bummed out that he'll probably never see some of his most treasured possessions ever again.