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The woman alleges the incident occurred at 3:50 a.m. Sunday outside the Marquee, a nightclub in Manhattan's Chelsea neighborhood.
Police are investigating a complaint she filed Monday evening.
Marshall has not been charged.
Marshall was traded Tuesday from the Miami Dolphins to the Bears.
His attorney didn't immediately return a call for comment Wednesday.
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.