Criscito, who prosecutors allege was photographed in a restaurant with match-fixing suspects while still a Genoa player in 2011, told reporters: "I have nothing to do with this. I was only out for dinner with some Genoa fans."
Coach Cesare Prandelli was in the process of whittling his 32-man squad down to 25 when police arrived.
"I am not taking Criscito because he would have been under pressure which no human being can bear," Prandelli told a news conference.
"The other reason is that he could have been summoned by the prosecutor at any moment, before a match."
Prandelli also cut Emiliano Viviano, Marco Verratti, Davide Astori, Salvatore Bocchetti, Luca Cigarini and Ezequiel Schelotto from his Euro squad with two more names to follow before UEFA's Tuesday midday deadline.
Juventus defender Leonardo Bonucci has also been linked to match-fixing in testimony from a probe in Bari, where he used to play, but is not under formal investigation and will go to the tournament in Ukraine and Poland.
"I have talked with Bonucci, he has already been heard by prosecutors in Bari. He is calm and so are we," Prandelli added.
"At the moment he has not received any communication. If Bonucci is OK, he will be in the list of 23 for the Euros."
The latest match-fixing probe has stunned Italy and led to some high-profile arrests on Monday as well as Criscito being warned.
Serie A title-winning Juventus coach Antonio Conte is also under formal investigation over his time as Siena boss.
Italian football was last embroiled in a major match-fixing affair in 2006 - the year the national team won the World Cup.
Italy face Spain, Croatia and Ireland in Euro 2012 Group C with their first game against the Spanish holders in Gdansk on June 10.
