The bus was parked and had no passengers, the source said.
Media reports said two cracks were visible on the coach and two people were arrested.
The PSG players and staff were able to travel to the city's airport for their Thursday morning flight back to Paris.
The club is considering filing a complaint over the incident, said the source.
On Wednesday evening, European champions PSG drew 0-0 at Bilbao, a result which left PSG third in the 36-team qualifying league. Bilbao are 28th.