My rights/obligation regarding special investigation of homeowner insurance claim due to theft of property in Arizona?

It appears from what you have written that your insurance company may have suspicions about the claim. Your insurance policy has a "cooperation clause" that requires you to cooperate with their investigation and respond to reasonable requests. An insurance company may require an insured to produce reasonable documentation regarding stolen items. Without knowing the amount or nature of the items stolen, it is hard to say whether the request is within what is reasonable. Receipts for the items, if you still have them, is not unreasonable. Tax records may be relevant to establish that you had the resources to purchase the items stolen. Cell phone records might be relevant to determine that you were not "in on it." The tough part of each situation is deciding when the insurer has exceeded reasonable requests and gone too far.

You have a contractual obligation to cooperate with the insurance company's investigation if your claim. If you fail to cooperate, the insurance company can deny your claim for that reason alone. The special investigation unit (SIU) becomes involved when there are red flags that although seemingly arbitrary, cause the insurance company to believe there is something suspicious about the claim. They want and are entitled to your cell phone records to determine in their mind whether you had a guilty connection to the loss. They want and are entitled to your tax returns to determine, again in their minds, whether you could have afforded the items you allege we're stolen. They want and are entitled to receipts, if you can get them or still have them, to establish your ownership of the items you are claiming as haven been stolen. You may be asked to attend an examination under oath, where you are questioned under oath by an attorney for the insurance company. You must appear for an EUO but I would suggest hiring an attorney who specializes in first party insurance claims so you are prepared for the questions that are asked of you. The information sought will be intrusive and likely none of their business, but you have a duty to cooperate and answer most if not all of the questions. If you are prepared by an attorney and accompanied by an attorney, it's likely to be a much less difficult process than going by yourself and trying to figure out whether or not you should answer. Also, the insurance company attorney knows the answers to many of the questions. He or she may be interested in whether you will answer a touchy question honestly or opt for a material misrepresentation or concealment, which will allow the insurer the opportunity to deny the claim for either of those reasons. Cooperate with the carrier's requests, be polite and do not give the SIU investigator a reason to recommend denial of your claim.

This is a standard intimidation tactic. You have to give information reasonably related to the loss. You need to talk to a lawyer about this. I'd be happy to answer your questions.

you have an obligation to provide reasonable information to support your claim.