There is such a thing as "conduct unbecoming" and yes, it can get you fired. This clause is listed in the SOP manual the department gives to you. One example would be keeping in association with felons or known drug users. Even though it you are not doing anything illegal, or permitting it to be done, it is still conduct that would be unexpected of a police officer.
However, going to a strip club or gambling in a casino is perfectly legal, and therefore is not "conduct unbecoming." If the officer were to be accused of getting a little more than a striptease, then they are going to have a problem.