The retailer said there were two "alleged tampering incidents" involving the foil-wrapped hollow milk chocolate figures, which sell for Â£1.
It has informed the police and Food Standards Agency and started a national product recall.
There was no indication of any blackmail demand or threat, a spokesman said.
The Co-op has sold 165,000 of the German-made Santas, which are also available from other retailers, and advised consumers not to eat them.
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The Santas with batteries were found in two separate locations, some distance apart.
A Co-op spokesman said: "The health and safety of our customers is our top priority.
"We are concerned about two separate instances of alleged product tampering involving our hollow milk chocolate Santa foil figures, which have been found to contain a small battery inside.
"As a result we have begun a UK-wide product recall. The police and Food Standards Agency are being notified.
"Customers with one of these products should not eat it, but call our customer relations team for a full refund."
Anyone who is concerned should call Freephone 0800 0686 727.
The spokesman added: "We are investigating the matter and will be involving the relevant authorities to help."
The Co-op said no other products are affected.