The England skipper, 31, was pictured in a sozzled state in his national team tracksuit while attending a wedding reception at the Grove until 5am on Sunday.
Defender Phil Jagielka was also spotted at the party and posed for a selfie with a guest.
However, it appears the Liverpool pair had a more subdued night than Rooney's with Lallana spotted slowly sipping on a beer while Henderson stuck to water.
For Your Eyes Only has seven branches nationwide and considers itself "one of the UK's leading Gentlemen's Club brands".
On its website it says: "We have multiple VIP booths for your comfort and enjoyment that can be pre-booked in advance, along with continuous stage shows all evening performed by our beautiful dancers."
One of the dancers at the club said that former Southampton captain Lallana is a regular.
Another dancer who saw the stars, told the Sun: "Some of the girls were invited up to drink with the group and a couple of the footballers' friends had private dancers.
"I'm not sure their wives or partners would be too happy with them coming here."
The FA has confirmed that it will be investigating the fresh allegations against Henderson and Lallana alongside Rooney and Jagielka's appearance at the wedding.