Gascoigne was involved in an "incident" in a Gateshead hotel earlier in the year, and he was released after two weeks of treatment in a mental hospital.
But police were called to a four-star hotel in Knightsbridge, West London, at around 3.15pm on Sunday.
The former Newcastle player has struggled for some time with alcoholism and depression.
A spokeswoman for Scotland Yard confirmed officers were called to a hotel in the SW1 area of London yesterday afternoon, but no crime was alleged and it is no longer a matter for the police.
