Valencia have issued a statement insisting they will "defend Mouctar Diakhaby to the fullest" following an allegation of racist abuse.
The La Liga outfit walked off the pitch in protest during their 2-1 win over Cadiz after Diakhaby reacted furiously after clashing with Cadiz's Juan Cala.
The 24-year-old said he had "received a racial insult".
Valencia left the pitch before returning without Diakhaby, who was substituted, as club captain Jose Gaya claimed his side either had to resume playing or risk a points deduction.
"Diakhaby asked us to play on. We wouldn't have done so if he hadn't done so," he said. "He said he wasn't in the right state of mind to keep playing. He is devastated."
The club have since said : “There should be no doubt that Valencia CF will defend Mouctar Diakhaby to the fullest, and fight to ensure that such lamentable events are not repeated.”
Valencia's president has discussed the incident with La Liga and has asked for a full investigation to be undertaken.
The club said: “We spoke with La Liga this morning to encourage them to also see their investigation through to the end.
"This incident cannot be left behind, and cannot be repeated with any other player for any other team.
“We are saddened that, following the incident, there was no reaction to stop the game, and that it was our players who were the ones to leave the field of play.
"There cannot be a lack of action in light of these types of situations.
“From now on, we would like to see some kind of reaction to change these protocols, in order to protect those who are vulnerable.
"If we don’t change this, then it will give a bad example to everybody.”
