The players affected, including Barcelona defender Gerard Pique, made the discovery after the world and European champions's 2-1 victory over Uruguay on Sunday.
"We know there was a report, a police report and this was being dealt with by the relevant authorities, we have been in touch also with the team," FIFA spokesman Pekka Odriozola told a briefing.
"We are waiting to hear from the authorities. (We) don't have all details. We know there was an incident and the police are investigating."
Spain take on Tahiti in Rio in their second Group B match later on Thursday.
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