Depay, 31, broke Robin van Persie's record when he scored a double in the 3-2 victory away to Lithuania in the Netherlands' last Group G qualifier, taking him to 52 goals for his country.
But the striker could miss their next game in Malta on Thursday, where the Dutch are expected to consolidate first place in the standings.
“Memphis Depay will join the Dutch national team's training camp at a later date,” said a statement from the Dutch Football Association on Monday.
“The player has announced that his passport was stolen, preventing him from making his scheduled flight from Brazil on Sunday evening.
"He is doing everything he can to travel to the Netherlands as soon as possible. He is therefore expected to be able to join the squad shortly.”
"This is unfortunate, primarily for Memphis, but also for us. You naturally want to start your international preparations with a full squad," manager Ronald Koeman said.
"At the same time, there are circumstances beyond our control. We hope he can indeed travel to join us at the training camp as soon as possible."
The Netherlands also take on Finland at home on Sunday. They have 10 points from their opening four qualifiers, ahead of Poland on goal difference with a game in hand.
The group winners qualify directly for the finals in North America with the runners-up going into the playoffs.
