First Melbourne Storm coach Craig Bellamy and his players made a statement to the media.

Then the Storm's fans made a statement to them - you're still heroes to us.

Fans turned a club members' familiarisation session at the new Melbourne rectangular stadium on Saturday into an impromptu supporters' rally - more than 2,000 turning up at the newly-named AAMI Park to watch the players train.

And the fans made it clear to a group of players and staff still reeling from unprecedented penalties this week over the club's salary cap rorting that they still had support.

Players were visibly moved as fans gave them a standing ovation once they emerged for training - shaking hands, posing for photographs and signing autographs ahead of a session in which their every move was cheered.

In a prepared statement read to media at Melbourne's soon-to-be new home, Bellamy said the 48 hours since the NRL hit the club with heavy penalties for salary cap breaches - including stripping their two premierships - was the toughest of his and his players' sporting lives.

With his entire playing squad standing behind him, Bellamy said he would not walk away from the club.

He said he welcomed the NRL's continued probe after it was revealed the Storm had been involved with long-term salary cap rorting involving clandestine player payments.

"The two things they can never take away are our dignity and our integrity," Bellamy said, before refusing to answer media questions on the grounds it may compromise the NRL investigation.

"That is why we welcome the full forensic investigation that is taking place at this club. We know we will be investigated. We welcome that.

"I love this club. I love these players. These players love our club. This is a great club, it's a strong club, it's a very proud club.

"This is why we stand here today united. We are not going anywhere. We ain't going to surrender. We will not walk away from this challenge."

On Thursday, the Storm had their two premiership wins in 2007 and 2009 stripped, were told to pay back $1.1 million prizemoney, and fined another $500,000 for the breaches.

The club also will play the rest of the NRL season for no premiership points, starting with Sunday's match against New Zealand Warriors at Etihad Stadium.

With another 17 games to follow Bellamy insisted they mattered deeply to him and his players.

"We will fight our way back from here. It starts today and tomorrow it starts on the field," Bellamy said.

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