The incident took place when Baena, 21, was on his way to the team bus after the match, Villarreal said on Sunday. The club did not identify the alleged assailant in the statement, although sources have told ESPN the player is Madrid midfielder Federico Valverde.
"Villarreal CF rejects any act of violence and firmly believes in the player's version of events and will support him throughout the process," the club said.
Sources told ESPN the Uruguayan midfielder reacted angrily to alleged derogatory remarks that Baena had made about his unborn child.
Valverde's partner, Mina Bonino, revealed on social media in February the couple had believed they had lost their child, before further tests revealed that the pregnancy was in fact healthy.
Sources told ESPN that both Madrid and Valverde say Baena first made the comments when the two teams met in the Copa del Rey on Jan. 19, saying "cry, because your child won't be born."
Baena denied the allegations in a social media post on Sunday.
Spain under-21 international Baena, who came through Villarreal's academy, has scored 10 goals in 38 appearances in all competitions this season.
"Very happy with the team's impressive victory in a venue like the Santiago Bernabeu, but at the same time very sad for the aggression I suffered after the match," Baena wrote on Instagram.