Rangers announced on Sunday that the club was launching an internal investigation into a possible breach of lockdown, without giving details about the incident or who was involved.
It is believed the announcement relates to allegations that members of the squad went to a party in Glasgow, which resulted in ten people being issued with fixed penalty notices by Police Scotland.
Asked about the incident at the coronavirus daily briefing on Monday, Ms Sturgeon said it took all her power “not to use expletives”, alluding to a series of “really frustrating” alleged rule breaches from the world of sport and football which may set a bad example for members of the public.
“I tell you, sometimes I feel it’s taking all my power not to stand here and use expletives whenever I get asked about football again,” Ms Sturgeon said.
“I’ve not been given all the details of the Rangers incident yet, no doubt that will happen when the details are clearer – I know the club are investigating.”
Rangers was previously forced to suspend two players for a breach of the rules, while Celtic and Aberdeen are among other teams where violations of the rules were reported last year.
Ms Sturgeon previously issued Scottish football with a “yellow card” after Celtic player Boli Bolingoli, currently on loan in Turkey, failed to quarantine on his return from a trip to Spain in the summer.
Ms Sturgeon added: “It’s really unfair to the vast majority of people in the country that don’t have the privileges that elite sports people have right now and therefore when they see elite sports people breach these rules – and let’s also be frank, the vast majority are not, but when a small number do – people think: ‘Why am I bothering?’
“Can I say to football and sport in general: please make sure your house is in order.”
She added: “It shouldn’t take me standing here to say to highly paid footballers that you’ve got to obey the rules, it really shouldn’t take that.
“The fact that it does is hugely frustrating to me – I don’t care whether it’s Celtic, Rangers or any other club.