Valverde is said to have assaulted Baena in the bus parking area of the Santiago Bernabeu after Villarreal beat Real Madrid 3-2 on Saturday.
Villarreal confirmed that the Baena has made a complaint to the police. An official statement on the club's website read: "Villarreal CF player Alex Baena was assaulted last night while on his way to the team bus after the match against Real Madrid CF at the Santiago Bernabeu stadium.
"Faced with this situation, the player has decided to file a complaint against the aggressor with the police. Once again, Villarreal CF rejects any act of violence and firmly believes in the player’s version of events and will support him throughout this process."
The two players exchanged words on the pitch and Valverde apparently told Baena he would meet him after the game.
Tensions between the two are reported to have started in a Copa del Rey match in January. It was claimed that Baena made a comment about Valverde's then-unborn son and then made another dig during the match on Saturday.
The 21-year-old took to social media to deny that he made such an insult to Valverde, saying: "Very sad about the aggression I suffered after the match and surprised by what is being said about my person. It is totally false that I said that!"