The Premier League strugglers travelled to the United Arab Emirates at the start of last month.
However, The Mirror has reported that the majority of the squad treated the break like a "stag party" as they took advantage of Redknapp staying in a separate hotel.
"If it happened they must have done something I didn't see," Redknapp told the newspaper. "I don't believe what you're saying. I can't see it."
QPR make the trip to fellow strugglers Southampton in the league on Saturday.