The Australia Federal Police says it received a request from Senator Nova Peris almost a month ago, possibly relating to private emails that have surfaced in the media.
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The emails were published by News Corp on Wednesday with claims they show the former Olympian sought government funding to fly in an overseas athlete whom News Corp alleges she was having an affair with.
Senator Peris has denied any wrongdoing regarding the allegations, which predate her entry to Parliament.
"Documents provided to the NT News are private. It appears they were not lawfully obtained by a third party," Senator Peris said in a statement.
It appears Senator Peris' may have pre-empted the release of the emails and referred the matter to police as early as October 2.
An AFP spokesperson said in a statement: "The AFP received a referral on 2 October 2014 from Senator Nova Peris in relation to a number of matters."
"The AFP is continuing to evaluate this referral as per usual process," said the spokesperson.
The Labor leadership is rallying around Senator Peris, with Senate Leader Penny Wong declaring the publication of the emails a "gross invasion of privacy".
Opposition Leader Bill Shorten said he had spoken to Senator Peris and admitted Wednesday had been a "difficult day".
"The Labor Party and I have confidence in Nova Peris," he said.
Senator Peris appeared in public for the first time since the emails were published, attending Senate question time on Thursday.
