Players and officials from the Blues' reserve, youth and academy teams were forced to flee the building in Cobham, Surrey, where the device went off because of thick smoke, according to the Daily Mail.
The club did not give any details on what stage the investigation was at or if any players were suspected of involvement.
"I can confirm an investigation is under way. It is an internal matter," a Chelsea spokesman said.
The incident is the latest in a line of incidents at the training ground.
Last February Chelsea defender Ashley Cole accidentally shot and wounded a work experience student with an air rifle at the training ground.
It is believed Cole did not know the rifle was loaded and he apologised to the student, who did not require hospital treatment.
And late last year a knife was discovered by cleaning staff in a dressing room at the complex, although this was thought to have belonged to a building contractor on the site.
Source: PA
Source: PA