He said: "We have an independent complaints procedure so if a complaint is made to the Labour Party, the complaint does not come to me and the independent group that looks at complaints does not notify me, as leader, until there is the opening of an investigation.
"As soon as evidence was shared with me - as it was by the Sunday Mail earlier this month - of alleged inappropriate behaviour, then he was suspended the same day."
Day, who remains a councillor but has been replaced as council leader by Labour's Jane Meagher, has since been the subject of fresh accusations.
Two men told The Times they were sent unsolicited messages by Day on a dating app.
He was accused of sending naked pictures of himself, and allegedly became aggressive if ignored.
Scottish Labour said they were not made aware of the claims made in The Times.
City of Edinburgh Council said it dealt with complaints through "established processes" in consultation with an independent whistleblowing service and, where appropriate, Police Scotland.
Police Scotland is investigating a report of inappropriate behaviour made on 22 October.
The force said a previous report had been made about Day earlier this year but no criminality was established in that case.