Tigre refused to emerge for the second half in the second leg tie against Sao Paulo late Wednesday with the game abandoned and the title awarded to the Brazilian team.
Tigre defender Lucas Orban said police barged into its dressing room and threatened one of the club's players with a gun.
"Sao Paulo's security agents came in, they hit us with batons, took out a revolver and pointed it at the goalkeeper Damian Albil. Then the police came in and began to hit us again," he reported.
But the Tigre players' claims were denied by a Brazilian military policeman.
"No one was armed," commander Gonzaga told Brazilian media.
Tigre blasted Chilean referee Enrique Osses and the South American football Confederation (CONMEBOL) over the reported fracas.
Sergio Massa, mayor of the city of Tigre, said that what happened in Sao Paulo "merits a sanction" against the Brazilian side.
He said the Chilean referee "did not have the stature to handle this game".
Tigre president Rodrigo Molinos meanwhile said his side would file a complaint with CONMEBOL because security conditions were not adequate to play the second half after the locker room incidents.
And the Argentine Football Association AFA said it was assessing the situation.
"We were not there. We are collecting information and surely in the next few hours, AFA will make its position known," spokesman Ernesto Cherquis Bialo said.
The astonishing Argentine claims came just two weeks after the draw was held for the 2013 Confederations Cup and in the country that is hosting the 2014 World Cup.
Tigre midfielder Martin Galmarini reported that "everyone was armed" in reference to the locker room interventions.
Commenting on the incidents on his Twitter page Thursday, former Brazil star Ronaldo slammed the behaviour of the Tigre side, saying the players should be banned from continental competitions for 10 years.
"Now to serve as an example, there should be very severe punishment of Tigre. A 10-year-ban from South American competitions," said Ronaldo, a member of Brazil's organising committee of the 2014 World Cup.
Ronaldo, who won the World Cup with Brazil in 2002, also criticised the Sao Paulo managers and substitute players as well as the reporters who invaded the pitch when Tigre refused to return for the second half.
The match had already been marred by scuffles between the two sides in the first half triggered by a foul on Sao Paulo's Lucas Moura.