Malaga head coach Victor Sanchez del Amo claims he is the victim of "harassment and extortion".
Sanchez was suspended by the Spanish club on Monday after an explicit video of him was posted on social media.
""In relation to the events that have recently been discovered, and which have not as yet been verified, Malaga CF immediately suspends coach Victor Sanchez del Amo from his duties until a full investigation is carried out," Malaga said in a statement.
"We will disclose further information once the facts have been clarified."
Shortly before confirmation of his suspension was made public by Malaga, Sanchez tweeted to say he was the victim of a crime in relation to the video.
"I am being subjected to a crime against my privacy with harassment and extortion," he said.
"The matter is in the hands of the police and I entrust myself to follow their instructions.
"Sharing or disseminating an intimate content of any person without consent is also a crime either through social networks or messages or in any other way.
"Thank you for your understanding and support."
Former Real Madrid midfielder Sanchez, 43, has been Malaga coach since April 2019, when he replaced Juan Muniz.
He previously had stints in charge at Deportivo La Coruna, Olympiacos and Real Betis and earned eight international caps for Spain during his playing career.
Malaga, who were relegated from LaLiga in 2018, currently sit 16th in the Spanish second tier after returning from the winter break with a 1-1 draw against Real Oviedo last weekend.
