The French star, who signed on at Anfield in a deal worth more than £14m in 2004, was back in Liverpool last week on holiday when he learned of the break-in.
Thieves trashed his Marseille home before phoning the 26-year-old to make ransom demands.
If he does not pay them £120,000, the gang are threatening to release the tape on the internet.
Police have made one arrest since the demands were made on Monday but the suspect was released without charge after being questioned.
Cisse, who left Liverpool for Olympique de Marseille in 2006 on loan before sealing a permanent deal a year later, was seen back in the city at Stella McCartney’s ‘Stella Loves Liverpool’ fashion show, attended by a host of stars before the Liverpool Sound concert on Sunday June 1.
He was spotted again at the Liverpool tattoo convention this weekend.
But now the player has cut short his break and returned home to help police in their investigations.
He is said to have informed the authorities when the ransom call was made and has now flown back to the south of France to meet with detectives.
French newspaper Le Provence last night described the video as containing 'very intimate and private personal images'.
A French police spokesman said: “A video DVD was been stolen from Mr Cisse’s home in Marseille.
“The nature of it contents are not clear, but men have threatened to broadcast it on the net if he does not meet their demands.”
He added: “Our investigation is underway and no more information can be released at this stage.”
Striker Cisse was brought to Anfield by Gerard Houllier.
While at Liverpool, Cisse met his wife, Welsh hairdresser Jude Littler, and the couple have one son.
Ripped from TLW
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Cisse has said he will pay the £120,000........ but only if they put the DVD on the internet
