A short statement on the club’s Twitter account did not disclose the nature of the “alleged incident” – only that the Ibrox club are looking into the matter.
It is believed that the investigation relates to allegations that members of the squad attended a party in Glasgow that resulted in police issuing fixed penalty notices to 10 people.
The club statement read: “Rangers are aware of an alleged incident which is subject to an internal investigation. We will make no further comment.”
A Police Scotland spokesman confirmed: "We received a report of a gathering at a property in Hayburn Lane, Glasgow, around 1.10am on Sunday, 14 February.
"Officers attended and those in attendance left. Ten people were issued with fixed penalty notices for breaching coronavirus regulations."
It is not clear how many Rangers players were at the party or whether any were among those issued with fines.
Scotland remains under strict lockdown restrictions to help curb the spread of Covid-19, with no indoor mixing of households allowed under normal circumstances.
The Rangers investigation comes two months after Jordan Jones and George Edmundson were handed two-week club suspensions for breaching Covid protocols by attending an illegal house party.
Northern Ireland winger Jones and defender Edmundson were subsequently handed seven-match bans by the Scottish Football Association.
Both of the fringe players moved on loan to English clubs in January, Jones to Sunderland and Edmundson to Derby.