The 36-year-old former Celtic star left Brisbane's base on the Hunter Valley to work as a commentator for Optus Sport during their coverage of the UEFA Champions League.
McDonald called Thursday morning's clash between Atalanta and PSG alongside Simon Hill as well as Real Madrid's loss to Manchester City last Saturday.
FFA announced in a statement they investigating the alleged breach.
“Football Federation Australia (FFA) confirms that it is aware that Brisbane Roar player Scott McDonald has engaged in an activity as a commentator for Optus Sport’s coverage of the UEFA Champions League.
“FFA is currently investigating the matter to assess whether or not the Hyundai A-League’s COVID-19 Protocols were adhered to.”
The Roar have been based in the Hunter Valley since joining the competition's NSW bubble and are sharing the hotel with Melbourne City.
Non-essential activities’ are broadly prohibited by the protocols, with some players unable to pick up their children from school.
McDonald played in Brisbane's 1-1 draw against Sydney at McDonald Jones Stadium on Monday.
