The man entered the rooms with a former Lions staff member an hour before Saturday night's match against Collingwood at the MCG.
The pair was permitted entry by a Lions official and spent time in the rooms both before the game and in the first half.
Once alerted to the unauthorised entry, other Lions officials notified MCG security management, who asked police to remove the men.
One man was found to have a knife, but officials said it had never left his bag.
MCC Stephen Gough said the breach would prompt a review of stadium security.
"Incidents like this reinforce the need to be constantly vigilant when it comes to access arrangements in all areas of the stadium," Gough said in a statement released on Monday afternoon.
"We will review our access procedures and also work with the AFL and its clubs to ensure only authorised personnel gain access to the team change rooms in future."
Lions defender Brent Staker said on Monday in Brisbane that players were oblivious to the incident.
"We didn't know a lot about it. It got brought to our attention but it's a police matter now so it's probably out of our hands. It's something we didn't know about until recently.
"We weren't aware, and didn't need to be to be honest."
