The League One club had been on a pre-season training camp in Cornwall when the alleged incident took place in Redruth.
A club statement read: "In response to recent press reports, Crewe Alexandra Football Club will continue to fully co-operate with Devon and Cornwall Police in their ongoing investigation. It is inappropriate for Crewe Alexandra Football Club to make any comment during the police investigation."
Five men, aged 35, 19, 18 and two aged 24, were arrested in Cornwall following a complaint of a sexual assault against a woman in her early 20s.
Officers were first called to an address in Redruth at 4.30am on Saturday.
Inspector Rob Curtis, of Devon and Cornwall Police, confirmed that the men had been released.
He said: "Five males who we arrested have been bailed until early October."
Two other men, aged 21 and 20, were arrested in Cheshire over the weekend.
A spokeswoman for Cheshire Police confirmed that the two players had also been released on police bail. "The two men arrested have been bailed," she said.