FIFA confirmed the investigation after Spanish media said players had money stolen from their rooms while in Recife for a Confederations Cup match against Uruguay on Sunday.
"We know that there was a police report and this was being dealt with by the relevant authorities," FIFA spokesman Pekka Odriozola said. "We have also been in touch with the team."
A spokeswoman for the Spanish team declined to discuss the incident, while police in Recife could not be reached for comment.
Six Spanish players, including Gerard Pique, reported that goods, including money, had been stolen from their rooms, according to Spanish daily newspaper Marca and the EFE news agency.
The players reportedly discovered their money was missing as they prepared to leave Recife on Monday after the 2-1 win over Uruguay the previous day.
Security has long been a major problem in Brazil, where knife- and gun-point muggings, carjackings and armed robberies continue to be facts of daily life.
Police in Recife said Thursday that no one from the Spanish squad made an official complaint to authorities.
Police spokesman Carlos Leite said that investigators went to the team's hotel after the delegation had left but could not confirm that a robbery took place. He said that the hotel also couldn't confirm it.
On Wednesday, the wife of Brazil goalkeeper Julio Cesar said she was robbed at gunpoint in the city of Fortaleza, where Brazil played Mexico earlier in the day. In Brasilia, at least one journalist had his hotel room robbed before the tournament's opening match last week.