Commissioner Bud Selig's office said in a statement Rodriguez was under scrutiny and baseball takes the allegations "very seriously."
"We … have been investigating this matter since the initial allegation," the statement said. "As part of the investigation, the Commissioner's Office will interview Mr. Rodriguez."
ESPN.com cited an anonymous source Wednesday saying the Yankees slugger could face suspension if it can be shown he took part in illegal gambling.
"I don't know anything about it," Yankees General Manager Brian Cashman told the broadcaster.
Baseball also warned Rodriguez on gambling in 2005, MLB.com reported.
The third baseman is currently out of the lineup while rehabilitating his knee after surgery. He has socked 13 homers and driven in 52 runs over 80 games with New York this season.