Local media report that Vanek was at the federal courthouse in Rochester to speak with officials. He signed a free-agent contract with Minnesota this month.
In statement released by his agent, Vanek says they have asked for his cooperation in an investigation. He says he's cooperating and isn't a target of the probe or prosecution.
Details of the investigation haven't been released. Messages left with the U.S. Attorney's Office in Buffalo and Vanek's attorney weren't initially returned.
The 30-year-old Austrian played nine seasons for the Buffalo Sabres before being traded to the New York Islanders last year. He was later dealt to Montreal. Vanek signed a three-year, $19.5 million contract with the Wild on July 1.