The Primera Liga side is one of 23 teams who have been warned they face having their prize money stopped because of overdue transfer payments, wages or taxes.
UEFA confirmed Malaga, Sporting Lisbon and Fenerbahce are also on the list of clubs being investigated, though no British sides are on the list.
The list of offending clubs was drawn up by Jean-Luc Dehaene, the former prime minister of Belgium who heads the panel appointed by UEFA to prosecute financial fair play cases.
UEFA says the clubs have until Sept. 30 "to provide an updated situation."
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