A group of Foxes supporters were involved in an incident with police in the city's Plaza Mayor, but accused the authorities of being overzealous.
Fans had gathered ahead of Leicester's Champions League quarter-final first leg against Atletico Madrid at the Vicente Calderon Stadium.
Social media videos show a blue smoke bomb was let off while objects were thrown at police.
Emma Chetwynd from Tamworth alleged: "We did scarper out quite quickly when the police decided to throw rubber bullets at us. It was provoked but it did get a bit tasty so we left.
There were five or six big bangs and everyone was saying it was rubber bullets but we left quite quickly.
"It started with a bit of trouble from our fans but they (police) didn't need an excuse to blast in. It's any excuse - it's hard to say - but any excuse and they'll come in.
"A few people we saw who haven't been causing trouble have tried to talk to them but they were rudely brushed away."
Earlier, Spanish police reportedly said eight Leicester fans were arrested for "causing a mess" on Tuesday night.
Clive Langley, who travelled with son Paul, was in the Plaza minutes before the incident on Wednesday and felt the tension was building, alleging that tear gas was used.
Read the full article on eurosport.co.uk: Leicester fans blame Spanish police for trouble ahead of Atletico Madrid tie