Four senior West Brom players were interviewed by police after allegedly stealing a taxi outside a fast-food restaurant in Barcelona on Thursday.
Catalonia police told BBC Sport the players - who have not been named - were interviewed but not arrested after the incident in the early hours.
The Premier League club said it was investigating the incident, which happened during a training trip.
West Brom host Southampton in the FA Cup at 15:00 GMT on Saturday.
Mossos d'Esquadra - the Catalan regional police force - said the four players involved wanted to go out in Barcelona, but found everything closed so took a taxi to a fast-food restaurant.
When they left, at approximately 05:30, it is alleged they took the taxi and drove back to their hotel - without the driver.
Police were alerted by the hotel and taxi driver, who was reunited with his vehicle at about 08:00.
Baggies boss Alan Pardew said the players involved had broken a midnight curfew, adding it was "unacceptable" and he "felt a bit let down".
"It wasn't what we wanted," he said. "We've gone there to try to get ourselves ready and up for the run-in and this is obviously not ideal."
West Brom, who are bottom of the Premier League, have won just one of their past 25 league matches.
The club said it had "instigated its own investigation into the incident" and said the players "will be subject to the full rigours of our internal disciplinary procedures".
It said it would not comment any further on the incident until the investigation is over.
BBC Sport's Simon Stone
These truly are troubling times at West Brom. Bottom of the Premier League and seven points from safety, owner Guochuan Lai took the decision on Tuesday to sack his chairman and chief executive.
The men responsible for the football side were untouched by Lai's actions.
Yet within hours, four "senior players" - in West Brom's own words - were completely disregarding a curfew imposed by manager Alan Pardew.
If the key "football man" cannot control his most experienced players' behaviour in this depressing situation, it is difficult to envisage any outcome to this season other than West Brom being relegated.