Leicester are working with UEFA and local authorities to establish the "full facts" of disturbances involving their fans in Madrid.
Travelling supporters were involved in clashes with police on Tuesday evening and Wednesday afternoon ahead of the Foxes' 1-0 Champions League quarter-final first leg defeat to Atletico Madrid.
A Leicester spokesman said: "We are working with UEFA and the local authorities to establish the full facts of what took place and the reasons for the police response.
"We will also be liaising with travelling supporters before deciding on any course of action."
Fans claimed police used tear gas and rubber bullets against them as tensions boiled over in Spain but accused the authorities of being overzealous.
Social media videos show a blue smoke bomb was let off while objects were also thrown at police in the Plaza Mayor on Wednesday, where Leicester supporters had congregated.
Emma Chetwynd from Tamworth alleged: "We did scarper out quite quickly when the police decided to throw rubber bullets at us. It was provoked but it did get a bit tasty so we left.
"There were five or six big bangs and everyone was saying it was rubber bullets but we left quite quickly.
"It started with a bit of trouble from our fans but they (police) didn't need an excuse to blast in. It's any excuse - it's hard to say - but any excuse and they'll come in.
"A few people we saw who haven't been causing trouble have tried to talk to them but they were rudely brushed away."
Before fresh trouble on Wednesday Spanish police reportedly said eight Leicester fans were arrested for "causing a mess" on Tuesday night.
Clive Langley, who travelled with son Paul, was in the Plaza minutes before the incident on Wednesday and felt the tension was building, alleging that tear gas was used.
He said: "I could see what was about to happen so I said 'let's go and get something to eat'. Sure enough about 10 minutes later it was tear gas and 'whack, whack whack'. We didn't see rubber bullets but certainly tear gas."
However, another Leicester fan, Rak Singh from Oadby, felt any trouble was blown out of proportion.
He said: "They come in and clear out but nothing was happening.
"It wasn't as bad as people make it. If the police come and rush in you're going to run out and make it look bad. It was provoking the situation for no reason."
Leicester's official ticket allocation was around 2,800 although estimates of how many fans actually travelled ranged from 4,000 to 10,000.
Some away fans did buy tickets in the home ends of the Vicente Calderon while Atletico also had a neutral zone at the stadium.
The Foxes lost 1-0 thanks to a controversial Antoine Griezmann penalty, after referee Jonas Eriksson awarded a spot-kick despite Griezmann being fouled by Marc Albrighton outside the area.