Lochte and fellow teammates Gunnar Bentz, Jack Conger and Jimmy Feigen were heading home from a party Sunday night when robbers posed as police, stopped their taxi and took their money. Lochte said one of the robbers put a gun to his forehead.
All four swimmers are safe and are cooperating with a police investigation.
An International Olympic Committee spokesman initially said reports of the robbery were "absolutely not true" at a press conference Sunday. He then reversed himself and apologized, saying he was relying on initial information from the US Olympic Committee that was wrong.
Brazil's sports minister, Leonardo Picciani, appeared to be critical of the swimmers, saying they were "outside their places of competition and outside the appropriate time.''
Ban on beaches after 6 p.m.
Responding to security concerns, the Australian Olympic Committee told its 422 athletes that Ipanema and Copacabana beaches -- two of Rio's most popular tourist spots -- are off-limits after 6 p.m.
"The actual beaches at night have been subject to increased criminal activity since the Games commenced," the Australian committee's Mike Tancred said in a statement, adding that the adjacent boulevards were spared from the ban.
Australian athletes were told not to wear their team uniforms and to tuck their accreditation inside their shirts when socializing during the evening.
They must travel in groups of three or more and use a vehicle for any journey after 6 p.m., even for short distances, according to official guidance seen by CNN. Athletes have been reminded to inform someone of their whereabouts at all times.
The instructions come as athletes start to enjoy themselves in Rio after the end of their competitions.
Heavy police presence
The heavy presence of armed police on the city's streets is making tourists feel safe despite Lochte's mugging, CNN's Marilia Brocchetto reported.
"I've been to Rio multiple times and have never seen this many police and armed forces out," she said. "Military and civil police are out in full force in the trains, subways, venues and streets. You see military jeeps driving around all the time with men with huge guns in them."
Rio deployed 85,000 security officers for the Olympic Games
, including state police, armed forces and external police forces. Some 3,000 vehicles are patrolling the city.
Speaking to tourists near Ipanema and Copacabana beaches late Sunday after news of the mugging, Brocchetto said that visitors to Rio feel overwhelmingly secure.
"I was chatting with some Americans last night close to 2 a.m., and they all echoed the same sentiment -- none of them felt any uneasiness of being out that late on the beach.
"I've spoken to a lot of people from Australia, Russia, and they all said the same thing: 'I don't really feel unsafe, everything is going great so far.' "
Reporters questioned US swimmer Nathan Adrian about whether he has felt safe in Rio.
"We have had an amazing support staff. ... The idea is that we feel safe without even knowing that the people are there protecting us," he said. "You can spot it out eventually if you are around them for long enough, but the (security) department is keeping them where they need to be."
Adrian said there were two ways of reacting to the robbery.
"That situation brings everyone down, or everyone else tries to bring them up. The cool thing about Team USA is that we have been good about bringing everyone up. That is what is really special about us."
A troubling picture
Guidance for staying safe in Rio includes maintaining awareness of your surroundings, avoiding walking around alone at night and using a reliable cab service or Uber.
"Don't get into the first car you see. If you are a famous and highly recognizable swimmer, you definitely should not be hopping into any taxi," Brocchetto said.
Civil police investigating the robbery have urged the taxi driver to come forward, but no one has so far.
Lochte's mugging comes after a series of incidents that have brought Rio's safety into question.
A Paralympic athlete was mugged at gunpoint in June
, and a few days before the opening ceremony, Australian Olympians were robbed
after the fire evacuation of their building in the Olympic Village.
The window of a media van was smashed
by an unidentified object, and two stray bullets were found at the equestrian site.
The Olympic security chief was reportedly attacked as he left the opening ceremony and a National Force officer was shot dead after straying into the notorious Vila do Joao favela by mistake.
"There have been various incidents over the past week that isolated aren't a big deal, but when you look at it in the context that we've had a security incident almost every day, it paints a more troubling picture," Brocchetto said.