The Wizards say there was no ammunition in the container, and Arenas and the team have notified authorities and the league.
The NBA also released a statement Thursday night saying it is gathering details about what happened.
Arenas scored 18 points in Washington's 109-97 victory at Milwaukee on Wednesday night. The three-time All-Star is averaging 22.2 points after being limited to 15 games during the past two seasons following three operations on his left knee over 1 1/2 years.
Wizards spokesman Scott Hall wouldn't say when or where Arenas had the firearms in his locker.