According to the TVNotas gossip magazine, nine members of Mexico's World Cup squad partied with dozens of escorts at a private compound in Mexico City last Saturday following the team's 1-0 win over Scotland at the Aztec Stadium.
The magazine published grainy images of players arriving at the party under the headline "The true farewell of the Tri!".
However, Mexican officials said the players involved will not be sanctioned because they attended the party in their free time.
Guillermo Cantu, general secretary of the Mexican Football Federation, said the players would not be punished because "they have not missed training."
"A free day is a free day and those are the risks that one runs with freedom," Cantu was quoted as saying.
Among the players in attendance were goalkeeper Guillermo Ochoa and Benfica striker Raul Jimenez.
Los Angeles Galaxy brothers Jonathan and Giovani dos Santos also attended, along with defender Carlos Salcedo and midfielder Marco Fabian, who both play for Eintracht Frankfurt in Germany.
The Mexico team is already in Copenhagen, where they are preparing for a friendly against Denmark on Saturday before heading on to Russia.
The controversy echoes similar scandals which have swirled around the team in recent years.
In September 2010, Mexico players partied with women after a game in Monterrey. On that occasion, all participants were fined while defender Efrain Juarez and forward Carlos Vela were suspended from the selection for six months.
In June 2011, shortly before a trip to Argentina to participate in the Copa America, Mexican players hired sex workers in a hotel in Quito, Ecuador. They were fined and suspended from the national team for half a year.