The club's action is against FIFA's executive committee, who recently threatened to expel the Swiss Football Association (ASF) and all member clubs unless they punished Sion before January 13 for breaching player recruitment rules.
Sion have accused FIFA of "unacceptable blackmail" for attempting to force the ASF to take action that would "run contrary to their own rules and to Swiss law."
"The club cannot tolerate seeing other Swiss clubs taken hostage by FIFA," read a statement published on Sion's website.
On Tuesday, Sion urged the ASF to appeal against FIFA's threatened suspension, and said that "sacrificing" the club to satisfy FIFA would show a lack of courage and put in doubt the ASF and the Swiss Football League's ability to continue managing Swiss football.
The row erupted after Sion, the subject of a FIFA-imposed transfer embargo over the signing of Egyptian goalkeeper Essam El Hadary, proceeded to sign six players in the summer.
The club then fielded five of the six players during a Europa League play-off tie against Celtic earlier this year and were kicked out of the competition as a result, with UEFA's decision to expel them upheld by the Court of Arbitration for Sport.
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