Several members of the Mexico camp were named in an article by Mexican magazine TV Notas which said that the party on June 2 lasted over a day and featured 30 prostitutes.
West Ham frontman Hernandez has responded, saying in a Facebook live stream that there was nothing wrong with the gathering, which was organised in the players' free time.
"There was a get-together for my birthday. We had been given a day off and I invited the players. Everyone went apart from the goalkeeper Jesus Corona," the 30-year-old said.
"We were there and afterwards more guests arrived and everyone went at the time they wanted. There were no escorts and what has been said shows a lack of respect for all the guests.
"We didn't do anything bad, it was in our free time, but we wouldn't do it again."
Mexico open their World Cup campaign with a match against Germany on Sunday.