The FA confirmed they will investigate a complaint over the alleged conduct of the Italian boss while Tehoue was on loan at the County Ground in March.
Tehoue originally complained to the club's chief executive Nicholas Watkins that Di Canio had made a racially abusive comment about him in front of Swindon players. The Robins boss' alleged comments were later relayed to Tehoue by his team-mates.
The Orient forward has now written a formal letter of complaint to the FA, who have decided to open a full enquiry into the matter.
A statement released on the Wiltshire club's official website read: "The club feels it is imperative to put the record straight on a number of points.
"For the record, Swindon Town FC states categorically that it operates a zero tolerance approach towards racism.
"With regard to the specific complaint raised by Jonathan Tehoue, the board was fully appraised of the facts at the time of the alleged incident back in March and having investigated it, was satisfied that it was without merit and took appropriate action then.
"The club will of course happily assist the FA in its enquiries."
Di Canio guided Swindon to the npower League Two title in his first season in charge, in his first season as a football manager, and was named as the League Managers' Association manager of the year for his division last night.
The club statement continued: "The manager, Paolo Di Canio, denies completely any suggestion that he used toward Jonathan Tehoue or anyone, abusive, insulting or threatening words or behaviour by reference to race, or at all.
"The board wishes to affirm its complete and unequivocal support for its manager in this regard.
"Further, the board is wholly satisfied that any decisions concerning Jonathan Tehoue's playing career whilst at Swindon Town FC were made for purely footballing reasons."
Tehoue made just three appearances for the Wiltshire club before Di Canio cut short his loan spell.
The Italian told BBC Wiltshire in April: "It's a technical decision. He's not as good as I thought he was.
"It's really impossible to think that he will be on a football pitch for Swindon again.
"My main players give me 100%" because they have suffered with me all season.
"I have much better players than him in the way I want them to behave and the way I want them to play."