The 37-year-old, who recently became resident on the island with his wife Paris and their children, had previously lived in Morecambe for nearly two decades.
However, The Mirror reports Fury decided to relocate after a series of alarming incidents at the family’s home, including one in which an intruder scaled the property’s gates.
Speaking about the events to The Mirror, Fury said: ‘Sometimes you can be in a place too long and everybody knows where you live.
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‘I’ve got an attack dog and everything but the final straw was when a lunatic came over my 40-foot gates. I was at the gym and Paris phoned me going nuts.
‘It was one of our neighbours who saw him climbing over the bins and she phoned the police. He was about 35 and said he was there to be adopted by me and Paris.
‘He was wearing a dressing gown and pyjamas and said he was here to visit his father and mother. He could have had a knife on him. These people are innocent but when is it going to be one that’s not?’
Fury added that being a high-profile figure made such events particularly concerning.
‘When you’re a high-profile person and everybody knows where you live, it’s not good,’ he said.
He also revealed the incident was not isolated, adding: ‘And he wasn’t the only one; one time there was a guy dressed in seashells from head-to-toe.’
Fury and his family have since relocated to a large property on the Isle of Man, where they have been settling into life on the island in recent months.
When weighing up his options, the island wasn’t first choice, but ITV reports what drew him to the place.
He said: ‘I looked at moving abroad, far away, but it turned out that the Isle of Man is the perfect place for me - English speaking, English pound notes.
‘I can go and get an English newspaper from the local petrol station with my coffee and speak my own lingo.’
The former unified heavyweight champion, who enjoyed two reigns at the top of the sport, has been spotted at various locations around the island since the move, as he continues both his professional career and family life from his new base.
The 'Gypsy King' took on Arslanbek Makhmudov in his latest comeback fight at Tottenham Hotspur Stadium on Saturday.
Those watching Saturday’s bout may also have picked up a nod to his new home, with ‘boxing out of the Isle of Man’ heard as Fury made his ring walk, while on-screen graphics also listed the island as his place of residence.
The heavyweight champion has not been slow to embrace life on Manx soil either.
One of his more memorable appearances on the island came when he cleared the shelves of Terry’s Tato’s on Strand Street, buying up every potato in the shop.