Roy Horn to Caretakers -- Turn Over Penis-Grabby Video ... OR ELSE!!!

Roy Horn from Siegfried & Roy is LIVID over video footage currently being shopped to media outlets -- depicting the Vegas icon sexually assaulting his caretakers -- and now, he's threatening legal action if the tapes aren't turned over.

TMZ broke the story ... some disturbing video of Roy -- who's been going through rehab since a tiger mauled him in 2003 -- surfaced recently, showing Roy groping his caretakers against their will. The video is now being shopped around to the highest bidder.

We've seen the 2010 footage -- and it shows several instances of inappropriate behavior ... including Roy forcibly kissing a caretaker, grabbing two caretakers' penises, tweaking one's nipples ... and more.

Now, Roy's legal team is on the offensive -- firing off a cease and desist letter to the caretaker allegedly behind the tape deal, demanding the footage be turned over STAT.

According to the letter, the caretaker in question signed confidentiality agreements with Roy before his employment, and those agreements prohibit any kind of surreptitious video recording. It's interesting, because we're told Roy was the one who wanted the cameras because he thought people were stealing from him.

Roy claims the agreements also prohibit sharing such recordings with the media.