The players were notified of the probe by Turin prosecutors while at the national team's training centre in Coverciano, ahead of European Championship qualifiers against Malta and England.
The FIGC did not specify what the investigation was about, but said the two midfielders were allowed to go home as the federation believed they were not in the right state to face upcoming matches.
Turin prosecutors said on Wednesday they were investigating another Italian footballer, Nicolo Fagioli (22), for alleged illegal betting activities.
Reuters has reached out to the Turin prosecutor's office and Tonali's and Zaniolo's agents for comment on the latest developments.
Fagioli is facing a parallel investigation by FIGC prosecutors to determine whether his alleged gambling involved football games.
A player found to have bet on soccer matches risks being banned for at least three years and fined at least 25,000 euros under the FIGC's code of conduct.
Tonali and Zaniolo both play in England's Premier League.
Tonali joined Newcastle United from AC Milan in July, while Aston Villa signed Zaniolo on loan from Turkey's Galatasaray in August.
