American gold medallist swimmer Ryan Lochte has been held up at gunpoint after a party in Rio.

Ryan Lochte, won gold in Brazil in the 4x200m freestyle relay, and three other American swimmers were out celebrating when they were robbed at gunpoint early on Sunday by thieves posing as police officers who stopped their taxi and took their money and belongings.

In the latest security incident to hit the Rio de Janeiro Games, the 12-time Olympic medalist told NBC that one of the robbers put a gun to his forehead before taking his wallet. No one was injured.

"While it is true that my teammates and I were the victims of a robbery early Sunday morning, what is most important is that we are safe and unharmed," Lochte said in a message posted on Instagram. "I look forward to getting home so that I can begin to map out the plans for my future with an eye on representing TeamUSA at the 2020 Tokyo Olympics."