The club did not go into detail but police separately issued a statement saying they were investigating an alleged sexual assault on Sunday evening at a hotel where the Swans were reportedly staying.
The team, currently second on the ladder, defeated Essendon at the MCG earlier that night.
"We're still piecing together exactly what's transpired here and have our own set of internal enquiries ongoing," Swans chief executive Matthew Pavlich said.
"It's safe to say that we're extremely shocked and disappointed that this has taken place and that the players have found themselves in this situation.
"We understand the level of interest in the matter. There's going to be lots of speculation, but given it's a police matter right now, that is all that we can say."
Asked whether anyone had been arrested, he replied: "As I said, it's a police matter ongoing. I'm not going to comment any further on it right now."
The club also released a statement, confirming that "several players were involved in an alleged incident in Melbourne last night".
"The Swans have notified the AFL (Australian Football League) and relevant authorities and cannot provide further comment at this stage," it said.