For an ambiguity-averse insurer (AAI), the robust optimal reinsurance and investment strategy problem in the defaultable financial market is studied in this research. We assume that the insurer is allowed to purchase proportional reinsurance and to invest on a risk-free asset, a risky asset and a defaultable bond at any time, where the price process of the risky asset follows the Heston's stochastic volatility model. Firstly, in the case of model uncertainty, the probability measure equivalent to the probability measure of the reference model is used to describe the alternative model. The wealth process of the insurer under the alternative model is obtained by Girsanov transformation, and the corresponding Hamilton-Jacob-Bellman equation, which measures the ambiguity degree of model uncertainty with different preference parameters with state dependence, is established by dynamic programming approach. Then, the closed-form expressions of the optimal reinsurance and investment strategy is derived by solving Hamilton-Jacob-Bellman equation with the CARA utility function in the pre-default case and post-default case, respectively. And, the numerical simulation and its economic analysis are given. The results show that, compared with the model results using the same preference parameter, the expression of our optimal strategy is more accurate, and the model considered is more consistent with the actual financial environment.