Home Office enforcement vans arrived at Diamond Dolls in Mitchell Street at around 6pm yesterday.
Officers from Police Scotland were stationed at the door for several hours.
A spokesman for Police Scotland said: "Officers were in attendance supporting the UK Border Agency."
Diamond Dolls was the focus of the first episode of recent Channel 4 documentary series, Strippers.
More than 300 men visit the club each week, paying £10 or £20 per dance.
Owner Steven McDonald is an active campaigner for Scotland's sexual entertainment industry. He is head of the Association of Adult Entertainment Venues, which represents 17 strip clubs in Scotland, and was involved in the 2010 parliamentary process that saw a sexual entertainment licensing proposal rejected.