The woman alleges the incident occurred at 3:50 a.m. Sunday outside the Marquee in Manhattan's Chelsea neighborhood.
Police are investigating a complaint she filed Monday evening.
Marshall hasn't been charged.
Marshall was traded Tuesday from the Miami Dolphins to the Chicago Bears.
Both teams said Wednesday they were aware of the alleged incident before the trade.
Marshall's attorney didn't immediately return a call for comment.
Last year, Marshall's wife was arrested after he was stabbed in the abdomen during a domestic dispute. Charges were later dropped.
Marshall was involved in a 2007 fight in Denver that led to the drive-by slaying of the Broncos' Darrent Williams.
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