Victoria Police have refused to confirm whether two Melbourne Storm players are being investigated by detectives over an alleged rape.

According to a report in the Herald Sun, two Melbourne Storm players were interviewed by police on Wednesday over the alleged sexual assault of a young woman in an inner suburb of Melbourne early last month.

Police admitted they are investigating an allegation of sexual assault on a woman in South Yarra last month.

"Police have interviewed two men in relation to the incident but no charges have yet been laid," Victoria Police spokesman Kevin Loomes said.

"The victim has told police that the incident occurred at a flat in South Yarra on February 8."

Mr Loomes said the investigation was still in its early stages.

But police have refused to confirm whether or not the two men questioned are Melbourne Storm players.

National Rugby League (NRL) chief executive David Gallop said he was surprised and disappointed by the new allegation and the fact that he was unaware of it.

"I'm extremely concerned about the allegation and extremely concerned that we've only just found out about it," he told the Herald Sun.

"It's hard to be any more concerned than we already are, but if you could be, we are."

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