The suspects remain at large.
The incident is the latest in a string of attacks targeting CTA commuters.
Jesse Andersen was on his way from his Evanston home to his job at the Hyatt Regency Hotel when he was listening to singer Nelly Furtado on his iPod and minding his own business.
Andersen is the brother of Billy Corgan, lead singer of the Smashing Pumpkins. On Thursday morning, Billy tweeted a message about the attack saying, "my little brother Jesse was attacked and robbed this morning by 3 men. He's ok."
"I have to take the train because I do the early shift and I have never had a problem," Andersen told ABC7.
Around 4:30 a.m. a group of individuals -- four men and a woman who Andersen said looked like a tomboy -- started engaging him in conversation. The next thing he knew the woman sat down beside him and snatched his music player.
"I thought, you know, she just wanted to see my iPod but, you know, she wouldn't give it back, so I said, 'give it back to me, give it back to me,'" he said.
Police confirm Andersen gave chase as the assailants took off from the train when it reached the Chicago Avenue station. Andersen said he knew he should have ensured his safety by not pursuing his attackers but his pride was on the line.
"Two of them were blocking me, I think there was four of them. Then they came after me and punched me," he said.
It is the seventh time a group has assaulted an individual downtown since last weekend.
Thursday afternoon, CTA commuters were on alert.
"Be aware of your surroundings. Pay attention. Don't look at your phone. I think we're all easy targets. Everyone is looking at their phone. Nobody is looking at anything but that," said Erin Kelly.
"I'm aware of everything. I need to be careful. I need to be aware of course, but I mean, things happen," said Jocy Castro.
Meanwhile on Thursday, four teenagers charged in a weekend attack on a student at UIC on a bus early Sunday morning appeared in court. They are 18, 17, 15 and 13 years old. The two older ones got bond of $350,000 and $250,000 respectively and the 15-year-old got electronic monitoring while the 13-year-old was ordered held.