The Tynecastle side were docked 15 points and banned from registering new players by the Scottish Premier League after calling in accountancy firm BDO, but the SFA are now expected to launch their own disciplinary proceedings after the club broke strict insolvency rules.
Among the penalties the governing body could hand out are a censure, a fine or an extended signing embargo.
BDO's Bryan Jackson claimed it could be a disaster for the club if a financial punishment was meted out and Locke echoed those sentiments.
The Gorgie boss said: "We have been punished and rightly so. I'm not going to make any excuses. But do we have to get punished for the same thing twice?"
Meanwhile, the administrators running Hearts have made striker John Sutton redundant after he failed to agree a wage cut.
First-team players Ryan Stevenson, Jamie MacDonald and Jamie Hamill have all agreed to see their salaries reduced by 50 per cent but Sutton has now been laid off after rejecting a similar arrangement.
The Englishman had another year left on his contract but is now free to find a new club, with Motherwell leading the queue.
Four other players - including skipper Marius Zaliukas - whose contracts were due to expire this month have also been made redundant.