The players affected, including Barcelona defender Gerard Pique, made the discovery after the world and European champions' 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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