In this paper we discuss the asymptotic distribution of the approximation numbers of the finite sections for a Toeplitz operator $T(a) \in \mathcal{L}(\ell^{p,\mu}_N)$, $1 < p < \infty$ and $\mu \in \mathbb{R}$, with a continuous matrix-valued generating function $a$. We prove that the approximation numbers of the finite sections $T_n(a) = P_n T(a) P_n$ have the $k$-splitting property, provided $T(a)$ is a Fredholm operator on $\ell^{p,\mu}_N$.