The 29-year-old Walker apologized on Sunday after it was widely reported he held a party involving two sex workers at his home last week, breaking the government's rules on social distancing. The country is in the middle of a three-week lockdown.
"I want to take this opportunity to issue a public apology for the choices I made last week which have resulted in a story today (Sunday) about my private life in a tabloid newspaper," Walker's statement read.
"I understand that my position as a professional footballer brings the responsibility of being a role model. As such, I want to apologize to my family, friends, football club, supporters and the public for letting them down."
He added: "My actions in this matter are in direct contrast to what I should have been doing regarding the lockdown. And I want to re-iterate the message: Stay home, stay safe."
City said it will now look into Walker's conduct.
A club statement read: "Manchester City FC are aware of a story in a tabloid newspaper regarding the private life of Kyle Walker in relation to a breach of the UK lockdown and social distancing rules.
"Footballers are global role models, and our staff and players have been working to support the incredible efforts of the NHS (National Health Service) and other key workers in fighting the effects of the COVID-19 coronavirus, in any way we can. Kyle's actions in this matter have directly contravened these efforts.
"We are disappointed to hear the allegations, note Kyle's swift statement and apology, and will be conducting an internal disciplinary procedure in the coming days."
Walker, who has made 48 appearances for England, is the second high-profile EPL player to have been caught flouting the government's guidelines after Aston Villa's Jack Grealish.
The Villa captain went to a party last weekend and was pictured next to a road in slippers, just hours after he posted a video urging fans to stay safe at home on social media.
As of Sunday, Britain has recorded more than 4,900 virus deaths overall among nearly 48,000 reported cases. (AP) APAAPA