An arrest warrant has been issued for Lucas Piazon, 21, currently on loan to Reading, and his Brazilian team-mate, goalkeeper Andrey da Silva Ventura, 22.
It is claimed the sexual assault took place during the Pan-Am Games in July.
The alleged victim is a 21-year-old woman who they met in a nightclub, Toronto Police said. Mr Ventura plays for Botafogo in the Brazilian Serie B.
Police said the two Brazilian nationals met the victim and a friend in a nightclub in Toronto on 25 July.
A spokesman said: "It is alleged that...they socialized with the victim and accompanied the two women to a Toronto residence.
"The victim, once she arrived at home, went to sleep. They entered her bedroom and sexually assaulted her. She awoke and both of them left the residence."
Chelsea and Reading said they were both aware of the reports.
The alleged attack happened on the same day Mr Piazon helped Brazil secure a bronze medal in the tournament, scoring in their 3-1 win over Panama.
He has scored two goals in eight games for Reading this season.
A Chelsea forward and his Brazilian team-mate are wanted in connection with an alleged sexual assault in Canada.