Keogh was allegedly arrested for disorderly conduct, while Risdon is understood to have gotten into strife after failing to follow police direction and leave the area.
The pair have since been released from police custody and flew back with the team to Perth on Monday.
Glory released a statement confirming the players will be disciplined once the incident has been investigated.
"We do not condone any kind of behaviour which breaches the club's protocol and the National Code of Conduct," Glory chief executive Jason Brewer said.
"The players have apologised to the playing group and in due course will be making an apology to our fan base for their indiscretion.
"The players admit the situation has embarrassed them, their teammates and our fans and they are accepting full responsibility for their poor behaviour.
"We will continue to educate and support our players to ensure their judgments reflect the ethos and values of Perth Glory FC."
Irish international Keogh is arguably the recruit of the A-League season after bagging nine goals in 17 games.
Risdon was close to earning a call-up for the Socceroos' Asian Cup campaign, and is tipped to gain higher honours at some point in the future.
The incident comes at a bad time for Glory, who is being investigated by FFA for alleged salary cap irregularities.
Glory is facing the threat of fines or even the docking of A-League competition points after being issued with a show-cause notice last week for alleged failure to disclose reportable payments.
The perks such as accommodation and car allowances for players - plus payment of third party agents' fees - allegedly went unreported by Glory over the past three seasons.
FFA staff will be in Perth this week to investigate the issue further, with Glory likely to escape with a fine.
Glory sits one point clear on top of the table after eking out a 1-1 draw against Adelaide at Coopers Stadium.
Perth will be aiming to stay at the top of the ladder when it takes on Melbourne City at AAMI Park on Sunday.
It's unclear whether Keogh and Risdon will be free to play in the match.
