While checking the device, police found the picture of the new signing with the accompanying words: "Hulk out!".
Reports have said several senior Zenit players are unhappy after the wealthy club splashed out more than $100 million on Brazil forward Hulk and Belgium midfielder Axel Witsel just before the transfer deadline this month.
"We're not denying this story but won't comment either," a club spokesman said.
St. Petersburg is set to be named as a host city for the 2018 World Cup on Saturday