But as of Thursday evening, they have no complainant bringing a claim against him.
A 15-year-old told The Daily Mail that Weiner chatted and "sexted" with her.
Federal authorities are also looking into the claims, and have issued a subpoena for his cellphone and other records.
Weiner claimed it was possibly a hoax.
A spokeswoman for the FBI and a spokesman for federal prosecutors in Manhattan declined to comment.
Weiner is married to Huma Abedin, an aide to Democratic presidential nominee Hillary Clinton, and has a young son with her. He resigned from Congress after it was revealed he had been exchanging sexually explicit messages with multiple women.
He then unsuccessfully ran for mayor in 2013 and was leading several polls until it was revealed he had continued his questionable behavior. Abedin left him this month after revelations he had sent more sexually charged messages to another woman.
(The Associated Press contributed to this story)