Ryan Lochte -- Partying at the Playboy Mansion ... With Fellow U.S. Swimmers!

Team USA swimmer Ryan Lochte crossed an item off his bucket list Thursday night ... after spending the night partying at the legendary Playboy Mansion!

Lochte hit up Hugh Hefner's place with fellow U.S. swimmers Conor Dwyer and Cullen Jones ... who was out celebrating his 31st birthday.

No word if the guys had any luck with the ladies who frequent the property ... but at least they got in the door ... and that should count for something, right?