Malaga have suspended head coach Victor Sanchez after an explicit video was posted online.
The video appeared to show Sanchez exposing himself while wearing a Malaga training shirt.
The 43-year-old says the matter is being dealt with by police and claims he has been blackmailed in relation to the video.
Sanchez, who played for Real Madrid and Deportivo La Coruna during his playing career and took over at La Rosaleda in April 2019, released a statement on Twitter.
He said: "I want to report that I am the subject of a crime against my privacy with harassment and extortion.
"The matter is in the hands of the police and I entrust myself to follow their instructions.
"Sharing or disseminating intimate content of any person without consent is also a crime, whether via social media or in any other way.
"Thank you for your understanding and support."
Malaga are currently 16th in Spain's Segunda Division after a six-game unbeaten run in the league.
A club statement said: "In relation to the events that have recently been discovered, and which have not as yet been verified, Malaga CF immediately suspends coach Victor Sanchez del Amo from his duties until a full investigation is carried out.
"We will disclose further information once the facts have been clarified."
