The Wizards issued a statement Thursday night saying there was no ammunition in the locked container, and Arenas and the team have notified authorities and the league.
Officer Quintin Peterson, a spokesman for the Washington police department, said Thursday night there was no report of any active investigation involving Arenas.
The team and the three-time All-Star "are cooperating fully with law enforcement during its review of this matter and will have no further comment at this time," according to the Wizards' statement.
CBSSportsline.com first reported the investigation.
Wizards spokesman Scott Hall wouldn't say when or where Arenas had the guns in his locker. But speaking by phone to The Washington Times on Thursday night, Arenas said that the incident in question happened about two weeks ago.
"It happened like Dec. 10. Right after my daughter was born," Arenas said. "I decided I didn't want the guns in my house and around the kids anymore, so I took them to my lockbox at Verizon Center. Then like a week later, I turned them over to team security and told them to hand them over to the police, because I don't want them anymore. I wouldn't have brought them to D.C. had I known the rules. After my daughter was born, I was just like, I don't need these anymore."
The NBA's collective bargaining agreement allows for players to legally possess firearms but prohibits them at league facilities or when traveling on any league-related business.
"We're aware of the situation and are working to gain a full understanding of the facts and relevant legal issues," the NBA said in a release.
Los Angeles Clippers guard Sebastian Telfair was suspended for two games and fined an undisclosed amount in 2006 after a loaded handgun registered to his girlfriend was found in his pillowcase aboard the team's plane when he was with Portland.
Arenas scored 18 points in Washington's 109-97 victory at Milwaukee on Wednesday night. The 6-foot-4, 215-pound Arenas is averaging 22.2 points after being limited to 15 games during the past two seasons following three operations on his left knee over 1½years.
Arenas, who turns 28 on Jan. 6 and is in the second season of a six-year, $111 million contract, is one of the NBA's most popular players, but a series of injuries has limited his time on the court. Nicknamed Agent Zero, he has a career average of 22.7 points over nine NBA seasons.
Information from The Associated Press was used in this report.