No arrest was made and police said no charges were immediately filed against the 48-year-old former Oakland Athletics rookie of the year who played for six other teams from 1985 to 2001 and later wrote a tell-all book admitting that he used performance-enhancing steroids.
Officer Bill Cassell, a police department spokesman, wouldn't say Wednesday where the alleged attack took place.
Word about the investigation became public after Canseco posted information about it on the social media network Twitter. He said Las Vegas police had just left his house.
The postings - including the name and workplace of a woman - generated an immediate outcry from others who posted comments deriding Canseco. Some of the information was later removed.
The Associated Press does not normally identify possible victims of sexual assault.
Attempts to reach Canseco weren't immediately successful. Another Twitter post said he was on his way to the airport to fly Texas, to play with the Fort Worth Cats, an unaffiliated team in the independent United League.
Team spokesman Nathan Dwelle confirmed that Canseco was scheduled to play during the team's season home opener on Thursday.
"Right now, we're not commenting until we have all the facts," Dwelle said.
A Canseco spokeswoman, Susan Haber in Los Angeles, said she had no immediate information about the case.
Dwelle said Canseco's agent, Jose Melendez, was traveling with Canseco. Melendez didn't immediately respond to a message from AP.
Canseco hit 462 career home runs and was a six-time all-star while playing with the Athletics, Texas Rangers, Boston Red Sox, Toronto Blue Jays, Tampa Bay Devil Rays, New York Yankees and Chicago White Sox.
His book, "Juiced: Wild Times, Rampant 'Roids, Smash Hits & How Baseball Got Big," was published in 2005.
In recent years, Canseco played for various teams in California, Arizona, Mexico and Canada.
He declared Chapter 7 bankruptcy last year in Las Vegas, reporting less than $21,000 in assets and almost $1.7 million in liabilities, including more than $500,000 owed to the Internal Revenue Service. He listed a post office box as his address.
Attorney Mark Segal, who represented Canseco in the bankruptcy, said the case was discharged and he hasn't spoken with Canseco in several months. Segal said he doesn't know where Canseco lives now.