The four players are currently in self-isolation and recovering, the club said. Out of caution, Vegas' off-ice player areas - including the locker room, gym, training room, and video room - will be closed through Thanksgiving weekend.
Golden Knights owner Bill Foley previously revealed he tested positive on Oct. 16, saying at the time that he suffered from "no dramatic symptoms."
Some players throughout the league have voluntarily returned to their club's cities to resume training ahead of the upcoming 2020-21 season.
The NHL is targeting a Jan. 1 start date.