The Melbourne Football Club is investigating after a photo posted online appears to show two of its players dressed up as disgraced entertainer Rolf Harris and a young girl.

A photo posted on social media shows player Dean Terlich dressed as Harris and teammate Alex Georgiou wearing a dress and wig as part of the so-called Mad Monday celebrations at the end of the home and away AFL season.

Earlier this year Harris was jailed for five years and nine months after he was found guilty on 12 charges of indecent assault involving four girls.

The club says it will question the players when they return to the club on Wednesday.