Piazon – who is currently on loan at Reading – was in Canada as part of Brazil's Pan American Games football team, a competition they took bronze in with Piazon scoring in the third-place match.
A statement issued on Thursday said Piazon and Botafogo goalkeeper Andrey Da Silva Venture were both wanted by police over the alleged incident.
It read: "The Toronto Police Service is alerting the public to a sexual assault investigation.
"It is alleged that on Saturday, July 25, 2015, a 21-year-old woman, along with a friend, met two men in a nightclub in Toronto. The two men accompanied the women to one woman's residence, and once inside the residence, the two men sexually assaulted one of the women.
"The two men have now been identified, and arrest warrants have been issued for Lucas Domingues Piazon, 21, and Andrey Da Silva Ventura, 22. They are both wanted for sexual assault.
"Both men are from Brazil. They were in Canada as participants in the 2015 Pan Am games as members of the Brazilian Pan American football (soccer) team."
Piazon – who made his Chelsea debut in September 2012 – has made eight appearances in all competitions for Reading this season, scoring two goals.