The 26-year-old is reported by the Scottish Sun to have been on a night out in Glasgow on Saturday and was pulled from the River Kelvin by firefighters early on Sunday morning.
Mackay-Steven, a former Celtic player, was then taken to the Queen Elizabeth University Hospital by paramedics.
An Aberdeen statement read: "[We] can confirm Gary Mackay-Steven was involved in an incident in the River Kelvin on Sunday morning.
"On behalf of Gary, the club extends its thanks to the emergency services involved. The club will not be commenting further on the matter."