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A police spokesperson said at 11.40am police were called to the stadium after a report of someone behaving suspiciously, but after arriving found there was no actual threat.
A member of the gym at the stadium said members were removed from the gym to another room by security staff while the incident unfolded.
About five police vehicles were at the scene, but the situation now appeared calm.
The gym member said there had been a man "making a ruckus" in the changing rooms.
He was understood to be acting aggressively.