The 32-year-old was named on the subs’ bench for Rovers’ League Two clash with Stenhousemuir but left the stadium at half-time after the alleged incident, which is claimed took place between Cox and a Stenny player who was on the field of play.
It is not the first time Cox has been subjected to abuse during a game and in a video posted to Facebook, the former Cowdenbeath and Forfar player revealed he had promised himself he would walk off the park if it happened again. As he was a substitute, he took the decision to leave the game and return home.
He said: “Again, having to deal with some mental health shouts at football. Currently, the second half is just starting; Albion Rovers and Stenhousemuir, and I have left the stadium.
"I wasn’t playing tonight, I was on the bench, and one of the boys on the Stenny team was having a wee to-and-fro with the bench and he had a go at my mental health.
"He told me I should have done it right the first time. I’d promised myself that the next time it happened, I’d walk off the park. Obviously I wasn’t playing, but I am done with football, completely.
"Some folk might not think it’s a big deal; I’m f***ing fed up listening to it. I don’t get paid enough for it and if I’d been on the park I probably would have broken the boy’s legs, deliberately.”
Cox insisted he had tried to speak to the match officials about it but because they hadn’t heard the exchange they were unable to take action.
He added: “It’s the same s**t we talk about all the time. We talk about racism, personal issues, and because it’s not heard by officials there’s nothing they can do about it, so I’m going to do something about it.
"I’m leaving the game, I’m done with it. If I keep playing I’m going to batter somebody on the park, which is not good because it’ll result in me being the bad one.”
Albion Rovers issued a statement reading: "The health, safety and well-being of everyone associated with Albion Rovers is of paramount importance to us.
"Football is a place for all and we believe is should be enjoyed without fear, favour or prejudice.
"We are aware of an alleged incident that occurred during this evening's match and have been in touch with David Cox to offer our unconditional backing and support."
A spokesperson for Stenhousemuir added: "The club is aware of a verbal altercation that took place between players from both Stenhousemuir and Albion Rovers during tonight's match.
"We have spoken to the players involved. Both players are making claims of serious and wholly inappropriate comments being made during the game that have implications for player wellbeing and mental health.
"Whilst we accept that things can get said during a game, we believe the allegations are sufficiently serious enough to merit a more detailed investigation.
"We will be referring this to the Scottish FA tomorrow and will work with them and our colleagues at Albion Rovers to investigate the incident."