The distraught bird also left her nest at the parrot house at Glasgow Zoo, leaving four eggs to perish.
Although the building's thick plate-glass window was smashed, police do not know whether the parrot's mate was stolen or flew away.
Brian Fullick, the birds' owner, said the trauma of the break-in and the loss of her mate had been too much for the 20-year-old Timneh African Grey parrot.
The parrott was kept at Glasgow Zoo
It was the first time the birds had bred in nine years and the eggs had been due to hatch in nine weeks.
Mr Fullick discovered the break-in, which happened over the weekend, on Monday morning.
He said the female bird was plucking out her feathers and the eggs had been left to go cold.
Despite efforts to keep them warm in an incubator, the chicks in the eggs and their mother died within hours.
Mr Fullick said: "I tried to keep the female warm but she died in my hands.
"I think she was pining for her mate and traumatised by the breaking glass."
He said he believed the male bird - which is worth about £175 - may have been stolen, but did not think it was a professional raid.
A Strathclyde Police spokeswoman said: "We can confirm there was a break-in at Glasgow Zoo, but it is unclear whether the parrot was stolen or escaped.
"We can confirm that a cage was stolen in the break-in."