A royal source told the UK's Press Association news agency that Harry had been "letting off steam before the next phase of his military career."
Video has also been released from the same trip that shows the prince racing US Olympic swimming gold medalist Ryan Lochte in the pool of a nightclub in the hotel.
Lochte, who was in Las Vegas belatedly celebrating his 28th birthday, told the Daily Mail that he was "surprised" Harry had challenged him to the race, which the swimming star won.
"He's a great guy, and it was a huge honor to meet him," Lochte said, adding: "I definitely wasn't going to take it easy on him!"
It is not the first time Harry has taken on one of the world's top sportsmen - during a Caribbean tour in March, he managed to beat the world's fastest man Usain Bolt in a mock race.
Harry was in Las Vegas after hosting a charity event in San Diego.
Known for his playboy reputation, the prince has tried to distance himself from that lifestyle.
He caused outrage in 2005 when photographs of him attending a fancy-dress party wearing a swastika armband appeared in the media, and was forced to apologize in 2009 when video footage emerged of him calling an Asian colleague "our little Paki friend."
The prince has also been pictured scuffling with a photographer and admitted to drinking underage and smoking marijuana at age 17, but has recently presented a more grown-up image and stood in for the queen at the Olympics closing ceremony.
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