Hajredin Kuqi, Kosovo's deputy prime minister, said that Thaci was away on a private visit at the time of the attack, but his wife and son were in the house.
"The fact that someone has tried to hurt the prime minister and his family for whatever reason is not only criminal, but goes beyond any hatred, be it impatience or political hatred."
Kuqi added that authorities had increased security measures for government officials following the instrusion.
The prime minister's home is located in the Arberia district, where many diplomatic missions are located.
Local television carried images of the balcony on which apparent blood stains could be seen.
Kuqi refused to be drawn into commenting on who was behind the attack and called on authorities to conduct a swift investigation.
"We don't want to believe that this is due to political hatred,'' he said. "We trust the authorities and they will have their say."
Thaci, a former ethnic Albanian rebel leader, leads an uneasy coalition government that declared Kosovo's independence from Serbia in February.