The Welsh federation stated it was concerned in creating the hats for followers to put on in Qatar, beginning in opposition to the USA on Monday.
Rainbow imagery, a logo of LGBTQ rights, is controversial in a rustic the place same-sex relations are criminalised.
Followers and a few employees members had been "requested to take away and discard their Rainbow Wall bucket hats earlier than entry to the Ahmad Bin Ali Stadium," the Soccer Affiliation of Wales stated in a assertion on Tuesday, including it was "extraordinarily upset"
"The (federation) has collated data on these alleged incidents and shall be addressing this matter straight with FIFA," it stated.
FIFA didn't instantly reply to a request for remark.
Former Wales footballer Laura McAllister, a homosexual girl and previous FIFA Council candidate, spoke to BBC about being requested to take away her "rainbow wall" bucket hat earlier than getting into the Ahmad Bin Ali Stadium.
She described the incident that unfolded as "fairly heavy handed".
"As we had been queuing to enter the stadium we would heard that there'd been points with some individuals in entrance of us who'd been requested to take off their hats to enter the stadium," McAllister advised BBC Breakfast.
"So thankfully a number of of us additional again within the queue knew what was prone to occur and positive sufficient as we went by way of safety we had been advised by among the stewards that we could not enter the stadium carrying our rainbow hats."
McAllister stated she requested why they weren't allowed however did not get a lot readability.
"Clearly I wasn't going to simply take off my hat straightaway," she stated.
"So we engaged in a dialog about that, though we did not get quite a lot of sense as to why it's important to ban as a result of it runs counter to every part we have talked about FIFA permitting the rainbow symbols to be current within the stadium, however they had been fairly adamant about not being allowed to put on that.
"We had been advised it was a regulation - clearly I work in soccer, I work with UEFA, so I do know the rules - so I requested which regulation it utilized to and we weren't advised that."
McAllister stated her buddies equally had rainbow wrist bands and shoe laces eliminated earlier than getting into the stadium.
"We're right here to reside our personal values as a nation and with Wales being within the World Cup for the primary time in six many years, it is vital to indicate what our nation's all about, and that's about inclusion and tolerance and variety," she stated.
In April, a senior Qatari safety official overseeing match preparations recommended followers carrying rainbow flags may have them eliminated to guard them from potential assaults.