According to a report in the Guardian newspaper, Zambian coach Bruce Mwape is accused of rubbing a player's breasts after a training session.
"We can confirm that a complaint has been received in relation to the Zambian women's national team and this is currently being investigated," a FIFA spokesperson said, without specifying the nature of the complaint.
"FIFA takes any allegation of misconduct extremely seriously and has a clear process in place for anyone in football who wants to report an incident."
Zambia was eliminated at the group stage of the tournament in Australia and New Zealand and are now back home.
Zambia's women's football set up has been plagued by allegations of improper conduct.
When reports of misbehavior surfaced online last year, the Football Association of Zambia opened an investigation.
It is not clear what the probe found, or whether any action was taken.
At press conferences during the World Cup, Mwape was repeatedly asked about the allegations, which he called "fake" while dismissing suggestions he should resign.
"What are you talking about? I would like to know because there is no way I can retire without reason," he told reporters. "Maybe your reason is because what you are reading from the media or from the press, but the truth of the matter should actually come out, not just on rumors."
New Zealand Police said they "were made aware of an alleged incident" during the World Cup but after initial enquiries decided "no further action was required to be taken."
Despite police and FIFA involvement, the Football Association of Zambia denied knowledge of any recent complaint from players or its traveling delegation.
The organization said in a statement that it had "come as a surprise for us to hear of such alleged misconduct by the coach," adding that it had demanded "the highest standards of integrity and transparency" from players and staff.
The football association also said all training sessions had been filmed by its media team and a FIFA crew, and it had seen no evidence of any incident.
It added that it would take disciplinary action "once we are in receipt of an official complaint or presented with evidence."
There have been a series of sexual assault scandals in women's football in recent times, notably in Gabon, Haiti, the United States and Afghanistan.
FIFA this year toughened its disciplinary proceedings for sexual assault or harassment in a revised Code of Ethics.
It removed the 10-year limitation period on prosecuting sexual offenses and obliges "member associations and confederations to notify FIFA of any decisions rendered on sexual abuse."
FIFA stressed Friday that any allegations of abuse were handled in the strictest confidence.
"Where guilt is established, FIFA takes the strongest possible sanctions, including removing people from the game for life. Our track record demonstrates this," it said.
Zambia suffered heavy defeats to Spain and Japan before winning their first-ever World Cup match, downing Costa Rica 3-1.