In his first comments since the news broke, Cox and captain Callum Mills separately briefly spoke to media outside of the Swans' headquarters on Tuesday morning.
Victoria Police attended the Pullman Hotel in East Melbourne on Monday and said they were investigating a report of sexual assault in the early hours of the morning.
The Swans stayed there on Sunday night after their 36-point win over Essendon at the MCG.
The allegations have rocked the second-placed club ahead of the looming AFL finals.
"Obviously extremely disappointed with what's happened, and understand the questions and we'll update as we gather more information," Cox said.
When asked if sanctions should be expected, Cox added: "We're working our way through everything with the AFL and the relevant parties and we'll update when we get more information."
Asked if he had spoken to the players, Cox said: "We'll speak as the day unfolds."
Players were stopped by media as they entered Sydney's training facility.
"It's an investigation ongoing and we don't have the facts yet, so can't really comment," Mills said.
"We don't know the facts. It's as simple as that."
Mills wouldn't comment when asked if he'd spoken to the players involved.
As of Tuesday morning, no players had been charged in regards to the investigation, which is ongoing.
"Police spoke to a number of people at the hotel, however no one has been arrested or formally interviewed at this time," Victoria Police said in a statement.
On Monday, chief executive Matthew Pavlich said the club was working with the AFL and relevant authorities.
"We're still piecing together exactly what's transpired here and have our own set of internal inquiries ongoing," Pavlich said.
"But, safe to say that we're extremely shocked and disappointed that this has taken place and that the players have found themselves in this situation."
No senior figures at the AFL have publicly commented on the matter, though its integrity unit appears certain to become involved.
Unlike the NRL, the AFL does not have a strict no-fault stand-down policy on players charged with serious offences such as sexual assault.
But the AFL stood down Geelong's Tanner Bruhn, who ultimately had sexual assault charges dropped, for the entire 2025 season while his case was in court.
Bruhn, who always maintained his innocence, returned to play this year.
AFLPA chief executive James Gallagher stressed the NRL no-fault stand down kicked in when people were charged.
"What we've got here at the moment is allegations," Gallagher said.
"And so I think part of it is understanding what's happened and understanding that as best as possible and that can sometimes take time."
If Sydney do choose to stand down players for the last regular round, it will likely become clear before team selection later this week.
They play North Melbourne at the MCG on Sunday.
Sydney are required to name their extended squad on Thursday evening, then cut that back to 23 players plus three emergencies on Friday.
The Swans then have a week off during the wildcard round before a home qualifying final.
AAP has contacted the AFL for comment.
1800 RESPECT (1800 737 732)
National Sexual Abuse and Redress Support Service 1800 211 028
