The alleged incident is said to have happened on Sunday after City’s 2-0 Premier League win over Newcastle.
A national newspaper released security camera footage from the bar on Wednesday – and Cheshire Police are now investigating the matter.
“On Wednesday 8 March, Cheshire police was made aware of a video circulating on social media in relation to an indecent exposure which allegedly occurred in the Wilmslow area,” the force said in a statement.
“Enquiries in relation to the incident are in the early stages and no arrests have been made at this time.”
Manchester City, who gave their players two days off after the Newcastle victory, declined to comment.
It is understood Walker contests the allegations and reported for training as normal after the two-day break.
Walker’s representatives have been approached for comment.
Reporting by Press Association.