The Liverpool team-mates reportedly visited the For Your Eyes Only club in Bournemouth the night after the 3-0 World Cup qualifying win over Scotland.
On the same night, Wayne Rooney, the England captain, was pictured drinking at a wedding reception at the England team's hotel.
The images were subsequently published by The Sun and the Manchester United striker “unreservedly” apologised for his “inappropriate” behaviour.
Earlier on Monday, reports suggested that neither Henderson or Lallana will be disciplined for the visit, which was allegedly made three days before both started a friendly against Spain.
Henderson captained England for the 2-2 draw on the Tuesday night, while Lallana scored the game's opening goal before leaving the field injured in the 27th minute.
When asked whether any action would be taken against the pair, the FA referred to their earlier statement on Rooney, saying: “All England personnel have a responsibility to behave appropriately at all times. We will be reviewing our policy around free time whilst on international duty.”
Rooney has since condemned the media's coverage of his conduct on the night in question as “disgraceful” and claimed that the press are trying to ‘write his obituary’.Reuse content