Cox and Swans captain Callum Mills fronted the media in Sydney on Friday morning, speaking publicly for the first time since five of their players were suspended for the rest of the season.
There are ongoing allegations more than five players were in the room at East Melbourne's Pullman Hotel early on Monday morning.
"I cannot comment on what happened in the room, it is a police investigation," Cox said.
"So we're still trying to find out information as well."
Cox and Mills were repeatedly pressed on who might have been in the room. The Swans coach said he was not there, but added he was "unaware" if there was anyone else.
Prime Minister Anthony Albanese has branded the AFL's initial response to the Sydney Swans scandal "completely unacceptable" as a police investigation into a sexual assault allegation continues.
The Swans have suspended Isaac Heeney, Chad Warner, Nick Blakey, Riley Bice and James Jordon for the remainder of the season for "breaching club standards".
It was a decision club chairman Andrew Pridham said would "torpedo" the second-placed Swans' premiership hopes, with just one home-and-away round left to play before the finals.
Independent of the AFL-endorsed club bans, the five suspended players are linked to the police investigation into sexual assault.
Victoria Police Sex Crimes Squad detectives have flown to Sydney to continue the investigation.
No charges have been laid and AAP is not suggesting any wrongdoing.
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