A spokesman at the Ministry of Defence said an "incident" was being investigated, but declined to comment on the revelation in the tabloid Sun daily, which claimed it had a copy of the video showing the five having sex with a woman at an army barracks down the road from Buckingham Palace.
"An incident is being rigorously investigated," the spokesman told AFP.
The comments came after the sensationalist Sun newspaper splashed: "Queen's guards in porn shame" across its front page.
The five Life Guard troopers -- members of an elite unit of the British Army, which accompanies the queen on horseback during parades -- staged the late-night orgy at London's Hyde Park Barracks, the Sun said.
The footage was a stark contrast to the guards' usual performance, when they parade on horseback in public sporting plumed helmets and red uniforms.
Punishment for the incident could range from a fine and loss of promotion opportunities to being kicked out of the army, the Sun said.