De Goey is seen dancing with two women in the video in which he also appears to make rude sexual gestures.
The footage has raised eyebrows and is expected to draw the ire of the AFL.
The AFL giants said on Saturday they were aware of the footage.
"Collingwood Football Club is aware of video footage involving player Jordan De Goey that was taken in Bali in recent days," the club said in a statement.
"The club will comment further as soon as it is in a position to do so."
The Magpies came under fire earlier in the week from former Port Adelaide star Kane Cornes for allowing De Goey to travel to the Indonesian island given his track record.
'How could you think going to Bali in the mid-season break when you're Jordan De Goey was a good idea?' he said on SEN's Whateley.
"I don't care - come for me as hard as you want on this opinion. It is a stupid thing for Jordan De Goey to do to go to Bali at this stage of his career and at this stage of the season."
In October last year, the 26-year-old star was arrested in New York City and charged for forcibly touching a 35-year-old woman and assaulting a 37-year-old man.Â
De Goey was subsequently ordered to undergo an alcohol rehabilitation program.
Collingwood, who sit ninth on the ladder, have won their last four matches and next play GWS on June 26.
9°C