Cox and Swans captain Callum Mills fronted the media in Sydney on Friday morning, speaking publicly for the first time since five of their players were suspended for the rest of the season for "breaching club standards".
There are ongoing allegations that more than the five players - Isaac Heeney, Chad Warner, Nick Blakey, Riley Bice and James Jordon - were in the room at East Melbourne's Pullman Hotel early on Monday morning.
"I cannot comment on what happened in the room. It is a police investigation," Cox said before saying he was not in the room.
"So we're still trying to find out information as well."
Cox was out himself well after midnight celebrating Sydney clinching a top-two spot and two home finals with a 36-point win over Essendon on Sunday.
But he was coy when asked if it was it a mistake to give his players a free pass to go out drinking without a curfew.
"We spoke about post-game, about what's required to make the right decisions," Cox said.Â
"These obviously aren't the right decisions and that's why we've acted as a football club and come down with the sanctions."
Asked how much soul searching he'd personally done this week, Cox said: "It's been a really hard week for everyone involved at the football club. We're not shying away from that".
Swans chairman Andrew Pridham said when handing down the club's punishment on Wednesday that the sanctions would "torpedo" the second-placed Swans' premiership hopes.
Already there are claims that there is a massive dressing-room divide with just one home-and-away round left to play before the finals and that the five banned stars may have played their last games for the club.
But Mills denied there was a rift within the playing group.
"We just take every day in its stride," he said.
"Everyone's going to be feeling every different emotion, but we'll work together and we'll stay together.
"Football's secondary at the moment, but we will stick together."
Prime Minister Anthony Albanese, meanwhile, has branded the AFL's initial response to the scandal "completely unacceptable" as a police investigation into a sexual assault allegation continues.
Independent of the AFL-endorsed club bans, the five suspended players are linked to the police investigation into sexual assault.
Victoria Police Sex Crimes Squad detectives have flown to Sydney to continue the investigation.
No charges have been laid and AAP is not suggesting any wrongdoing.
