Lochte and three of his American teammates had been invited out by Brazilian swimmer Thiago Pereira when the terrifying incident took place.
Pereira's spokesman, Flávio Perez, said Lochte was unharmed in the incident that took place after a birthday party at the nightclub, Club France.
Lochte's mother, Ileana, told Fox Sports it was 'terrifying' and she had rushed from her hotel to meet her son.
Speaking to USA Today, she said: 'I think they're all shaken up. There were a few of them... they just took their wallets and basically that was it.'
Team USA's Jenn Suhr told Fox Sports 'it definitely would have been terrifying' for Lochte and his teammates.
'I'm just glad they're safe... when you're in another country you don't know of, it's not the smartest idea to go places you're unsure of,' she said.