Italy's football federation (FIGC) said on Thursday the players were notified of the probe by prosecutors while at the national team's training centre in Coverciano, ahead of Euro 2024 qualifiers against Malta and England.
The FIGC did not specify what the investigation was about.
Spalletti spoke to Sky Sports on Friday, and while he did not say who had taken the decision to allow the players to leave the camp, it is one that he supports.
"It's not nice to say who decided, it's enough to say that it's the correct decision," Spalletti said.
"We can't bring two guys who have been shocked like that to play a game. Now let's think about playing, we lose two champions but we remain a very strong team."
Reuters contacted Tonali's and Zaniolo's agents for comment on Thursday.
The Italy manager, whose side take on Malta on Saturday, said it had been a testing time for the squad.
"It was a difficult night, when you have to get results there is always anxiety, but this was a different night, with a lot of bitterness over what happened," he said.
"The whole squad is close to Tonali and Zaniolo, we're very sorry for them. We will continue to be close to them even afterwards. For now, they have the spotlight on them.
"We must try to help them defend themselves, but it's also right that justice takes its course and if irregularities have occurred, then it will be right to pay."
Turin prosecutors said on Wednesday they were investigating another Italian footballer, Nicolo Fagioli, for alleged illegal betting activities.
Juventus contacted the authorities when the news was reported by media outlets, the club said on Friday.
"As soon as (Juventus) received news of the possible involvement of player Nicolo Fagioli in the matter of betting, it immediately and promptly contacted the FIGC Federal Prosecutor's Office," the statement read.
Federico Chiesa has left the Italy squad after Friday's training session because of injury. The forward missed Juventus's last game with a muscle injury and the Italian Football Federation (FIGC) confirmed he will return to his club.
