The Italian football federation (FIGC) said the players were not in the right "condition" to participate in Italy's two upcoming Euro 2024 qualifiers.
The FIGC has not specified what the investigation concerns, but Italian news agency ANSA reports it relates to an illegal betting probe.
The news comes a day after FIGC prosecutors announced an investigation into 22-year-old Juventus midfielder Nicolo Fagioli, who is alleged to have used a variety of identities to place bets on illegal websites.
Ex-Milan midfielder Tonali, 23, and former Roma player Zaniolo, 24, were informed of the probe on Thursday by prosecutors from Turin at Italy's Coverciano training centre.
"Regardless of the nature of the investigative order, given that in this situation the two players are not in the right condition to face the commitments of the coming days, the federation has decided [...] to allow them to return to their respective clubs," the FIGC said.
Italy host Malta on Saturday before travelling to face England on Wednesday in Group C.
The Azzurri are second in the table, six points behind leaders England. The Euro 2020 winners are level with Ukraine and North Macedonia on seven points, having played one game fewer.
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