Early last month, the Daily News reported the star slugger had attended games at an underground club with professional card player Phil Hellmuth.
Scott Boras, the third baseman's agent, denied that the Yankees had warned his client.
"The Yankees have never addressed or spoken with me in regard to any off-field activities regarding Alex Rodriguez. And the Yankees have never spoken to Alex regarding any of his off-field activities," Boras was quoted as saying in a story published Wednesday.
Playing at such clubs is not illegal, though it can be against the law to operate them, the Daily News reported.
Rodriguez was not punished or ordered to stay out of the clubs, but commissioner Bud Selig was monitoring the situation and could intervene if necessary, the newspaper said, citing sources it did not identify.