People close to the matter told the Wall Street Journal that the department has sent a letter to several funds, including well-known names such as Soros Fund Management and Paulson & Co, asking them to keep hold of their records relating to trading on the euro.
SAC Capital Advisers and Greenlight Capital have also received the communication from the Justice Department, it was reported.
Last week, an article by the paper stated that hedge fund members had met up at a so-called "ideas dinner" in which the falling value of the euro was discussed.
Following the meeting, a research note was leaked which summarized the comments made by one SAC portfolio manager who was in attendance.
"The presenter's way to play this is to short the euro," said the report of the comments.
"Basically the stock market right now is effectively trading on the euro â¦ it's one of the most liquid instruments you can trade."
The unnamed man also predicted that the euro could end up trading at between $0.90 and $1.20 â below its current level of $1.36.
However, insiders told the Wall Street Journal that it may be difficult to prove whether such information sharing constitutes an act of collusion.
"Charges relating to collusion on Wall Street have been a rarity because of the difficulty of proving that firms intentionally sought to act together and acted nefariously," said the paper.
The inquiry comes during a period in which the euro has fallen ten per cent in value since December.
Earlier this week, an unnamed strategist told the Financial Times that hedge funds were profiting from bets on European banks cutting their exposure to the Greek economy.
By Tony Aynsley