Bauer said the part of Rio where they lived was usually "removed from this kind of stuff."
Lee, a Jiu-Jitsu athlete, said he was "threatened with arrest if I did not get in their private car and accompany [police] to two ATMs to withdraw a large sum of money for a bribe.
"I'm not sure what's more depressing, the fact this stuff is happening to foreigners so close to the Olympic Games or the fact that Brazilians have to live in a society that enables this absolute bullshit on a daily basis," he wrote on Facebook.
The Ministry of Foreign Affairs and Trade's Safe Travel website warns of a high level of violent crime in Brazil - particularly in major cities.
"Violent crime can include mugging, armed robbery, home invasion and sexual assault and often involves firearms or other weapons.
"Street crime, including pickpocketing and bag-snatching, is also common, especially on public beaches and around festive periods such as Carnival," the website reads.
House of Travel marketing director Ken Freer said more Kiwis were asking if it was safe to travel to certain destinations, particularly Europe.
The travel agency had also seen some enquiries about safety in Rio.
"While we haven't had any cancellations or concern expressed since yesterday's event involving a Kiwi in Rio, in general Kiwis are becoming more security conscious and asking questions about safety as part of the booking process," Freer said.
"We are taking 1500 Kiwis to the Olympics this year including the team and support staff, and we have strong duty of care plans and processes in place to ensure all of our customers are well taken care of.
"Regardless of where Kiwis are travelling to, we advise all customers to register their details with Safe Travel prior to travel and to follow advice from the Ministry of Foreign Affairs and Trade," he said.
Flight Centre New Zealand's general manager of retail, Sue Matson, said that no customers had cancelled or changed their plans to head to Rio due to recent unrest.
"The majority of people due to travel for the Olympics will have booked months in advance, so we have not experienced any decrease in interest," Matson said.
"Kiwis are quite resilient travellers and many who will be travelling for the Olympics will be aware of the situation in Brazil and have prepared as necessary."