A Melbourne woman made the complaint to police.

The Demons confirmed to The Age that they were aware the police had received a report of the alleged incident, however no charges have been laid.

Melbourne informed the AFL's integrity unit of the allegation as soon as they became aware of it, as part of the AFL's new respect and responsibility complaints process that was introduced in October.

In this case the issue was considered serious enough to be immediately referred to Victoria Police.

The AFL referred the matter to Victoria Police.

Melbourne were tight-lipped about the details of the incident but provided a statement to Fairfax Media in relation to the allegation.

"The Melbourne Football Club is aware of allegations involved with the player and the club has referred the matter to the AFL Integrity Unit," the statement said.

"The Melbourne Football Club will fully co-operate with the process and while this is undertaken the club will make no further comment in response to the matter."

The accused player has not been named but Melbourne informed staff on Thursday that an investigation was taking place.

Police confirmed that they received a report in October about an alleged sexual offence in Bali and had spoken to the complainant as a result.

In a statement, police said the complainant had not so far made a formal statement.

"On October 2 Victoria Police received a report about an alleged sexual offence that occurred in Bali in September this year," the statement said.

"Police have spoken to the complainant however the complainant has not engaged investigators further...

"The complainant was also advised that primacy of the investigation would sit with Indonesian authorities. "

"Victoria Police's priority is the victim's safety and welfare," police said. "They are always in control of what happens next.

"The reality is that some victims come to us to have their story heard but they may not want to go through the process of the court case.

"We want victims to receive the assistance they deserve, whether that be from us or support services."

An AFL spokesperson said that "out of respect to all parties involved, the AFL won't be making any comment."

The AFL Players' Association, which was aware of the allegation and working with relevant parties to ensure the correct process was followed, released a short statement.

"We are aware of the allegation and have made our services available to the player. It's important the correct process is followed, therefore we won't be making any further comment at this point."

Melbourne have begun their Christmas break and had their final training session for the season on Wednesday.