The footage emerged on social media on Sunday, the same day manager Steve Cooper was sacked.
First team players Conor Coady and Harry Winks can be seen standing up and dancing next to the big sign, which appears to refer to former Foxes boss Enzo Maresca.
Jannik Vestergaard and Victor Kristiansen were also partying there, according to Danish newspaper Ekstra Bladet.
The Foxes suffered a 2-1 defeat to Chelsea at the King Power Stadium in the early kick off on Saturday, which proved to be Cooper's last game in charge.
Ironically, the defeat came against former Leicester boss Maresca, who left the club in the summer for Chelsea after guiding the Foxes to promotion from the Championship.
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talkSPORT understands Leicester's owner Aiyawatt 'Top' Srivaddhanaprabha had reservations soon after appointing Cooper in the summer and the decision to let him go was not a knee jerk reaction to the defeat to the Blues.
Performances had been monitored for some time, but the club felt they were not good enough, with the Foxes sitting 17th and just one point above the relegation zone.
Leicester chiefs felt action needed to be taken sooner rather than later to give them a chance to stay up.
They had been keen to give Cooper as much time as possible, but didn't feel he would be able to overcome the issues in the time frame necessary.
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There is no expectation of a quick appointment at present.
However, the club were very keen on ex-Chelsea and Brighton boss Graham Potter in the summer before appointing Cooper.
A lot of the players were also said to be unconvinced by the former Nottingham Forest boss.
There was deemed to be a failure from Cooper's side to connect with the players and fans.
The Sun report the Leicester players were at their Christmas party.
Winks and Coady, who were the focus of the clip, fell out with Cooper before he was dismissed, according to The Telegraph.
Leicester declined to comment on the story.
It's understood the Foxes first team are back in training on Tuesday.
Cooper lasted just 15 games at the King Power, winning just twice. They conceded first in 10 of their 12 league matches.