Social media footage of De Goey has emerged showing the controversial Magpie dancing and making crude gestures on the Indonesian party island.
De Goey travelled to the island during Collingwood's mid-season break.
"The Collingwood Football Club is aware of video footage involving player Jordan De Goey that was taken in Bali in recent days," the Magpies said in a statement on Saturday.
"The club will comment further as soon as it is in a position to do so."
A woman with De Goey in the social media footage defended the Magpie utility.
"I can't believe the backlash towards Jordy and myself over here in Bali ... Nothing to see here," the woman, Remy Jackson, posted on Instagram.
Collingwood last October stood down De Goey after the 26-year-old was arrested for a drunken incident at a New York nightclub.
De Goey and a friend were arrested at a Manhattan rooftop bar following an alleged brawl with other patrons.
In January, De Goey pleaded guilty to a charge of harassment at a hearing at the Manhattan Criminal Court and was ordered to complete 10 counselling sessions with a focus on anger management and alcohol treatment.
He was stood down by Collingwood during the legal process and returned to training in January.
De Goey falls off-contract with the Magpies at season's end and was permitted by the club to travel to Bali during their 12-day mid-season bye.
But the move sparked outrage among AFL pundits, with Collingwood's 1990 premiership captain Tony Shaw among them.
"He's probably not a smart person ... that's twice now," Shaw told Melbourne radio station 3AW.
"If I'm the football club, I would say, do you understand what you have done?
"Even though you don't know because you're probably stupid and you don't understand that this has been seen in the light it's been in Melbourne."
Retired St Kilda great Nick Riewoldt labelled De Goey as selfish.
"You always get a pretty good indication of someone's professionalism and how much they care about their career when you look at the choices they make," Riewoldt told Fox Footy.
"Every player has the right to go abroad during the break.
"But it's a choice ... Jordan chose indulgence over discipline in this case.
" … Unfortunately it seems to be a pretty regular theme for him that he prefers pampering over discipline from a football point of view."
Riewoldt's fellow Fox Footy commentator, Geelong premiership player Cameron Mooney, said the Magpies were "idiots" for allowing De Goey to travel.
"I am staggered the club let him go," Mooney said on Fox Footy.
"Whatever happens from here, Collingwood, it's on you.
"It's the stupidest decision I have ever seen a football club make."
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