There were clashes between Leicester supporters and police on Tuesday evening and Wednesday afternoon.
There were clashes between Leicester supporters and police on Tuesday evening and Wednesday afternoon ahead of the Foxes' 1-0 first leg defeat.
Social media videos show a blue smoke bomb was let off while objects were also thrown at police in the Plaza Mayor on Wednesday, where Leicester supporters had congregated.
Before fresh trouble on Wednesday Spanish police reportedly said eight Leicester fans were arrested for "causing a mess" on Tuesday night.
"We are working with UEFA and the local authorities to establish the full facts of what took place and the reasons for the police response," a Leicester spokesman said on Thursday.
"We will also be liaising with travelling supporters before deciding on any course of action."
Fans claimed police used tear gas and rubber bullets against them as tensions boiled over in Spain and accused the authorities of being over zealous.
Leicester's official fan allocation was around 2,800, but it is believed there were several thousand who travelled to Madrid without tickets.
Some Leicester supporters managed to buy tickets in the home ends of the Vicente Calderon, while Atletico also had a neutral zone at the stadium.