Although he took part in the session at the Parken Stadium, De Gea was forced to leave the field during the drills, after about 20 minutes, with reports indicating a thigh problem was the cause.
Video footage has shown the 30-year-old walking along the touchline with physios and making his way back to the dressing room in order to undergo treatment.
Brighton's Robert Sanchez could be elevated to back-up with Simon keeping his place against Croatia in the 17:00 BST kick-off in Denmark.
There are suggestions it could only be a minor injury for David, which would be a boost as, if Spain progress, they will face either Paul Pogba's France or Switzerland in the quarter-finals on Friday.