The woman claims she was assaulted by a man at Saturday's Bundesliga game against Nuremberg at the Veltins Arena, alleging that a man repeatedly groped her and tried to open her bra, whilst a steward told her to "go home and watch on TV" if she did not like it.
Police in Gelsenkirchen are in the process of trying to identify the man after the 22-year-old woman filed a complaint, and are also investigating the alleged behaviour of the steward.
According to 'BBC Sport', Schalke are taking the allegations "very seriously" and have launched an internal investigation.
The club added: "We are in the process of getting an overview and working in close cooperation with the police."