Celebrity gossip site TMZ.com published two pictures of the 27-year-old royal cavorting with what they called a mystery woman in a VIP suite.
Harry appeared nude. It wasn't clear if the woman was naked.
TMZ said Prince Harry disrobed Friday during a game of strip billiards in his VIP suite. The pictures show a pool table but it wasn't clear whether there were others in the room.
The celebrity website said the prince and a large entourage had gone down to a hotel bar and invited some women up to his room.
Prince Harry's office confirmed Wednesday that the photos were of the prince but declined to make any further comment.