Zdravko Mamic, the chairman of Dinamo Zagreb, and his brother Zoran, the club's coach, were held after deciding to return from the club's summer camp.
Police say alleged fraud has cost the club 118m kunas ($17.3m, Â£11.1m) since 2008.
The brothers say they are determined to prove their innocence.
On Friday, anti-corruption investigators said a senior official with the Croatian Football Federation, a tax inspector and the Mamic brothers were suspected of giving bribes, tax evasion and other offences.
According to Croatian and German media reports, they are accused of taking a cut of the sales of Dinamo Zagreb players.
Police allege the fraud also cost the state 12m kunas ($1.8m, Â£1.1m).
Police searched offices at the club and the football federation, as well as the brothers' homes, on Thursday. Two other men were also detained.
Officers are keen to keep the four suspects in custody, but a court in Zagreb has yet to rule whether they will continue to be held.
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A statement on the club's website (in Croatian) said: "Dinamo's entire staff, the squad and all of the club's employees fully back them as we are convinced they will prove that they are innocent."
Zdravko Mamic, seen as the most powerful man in Croatian football, had previously said the claims against him were "absolutely pointless and constructed", as well as politically motivated.
Dinamo were preparing for the new season, which begins on Friday, at a camp in Slovenia when the brothers returned. They were arrested on Saturday when they crossed the border into Croatia.
The club is the most successful in Croatian football, having won 17 titles and claimed 10 successive championships.
Two senior officials with Croatia's leading football club have been arrested on suspicion of embezzlement and tax evasion.