Narcolepsy is a rare disorder that causes people to suddenly fall asleep.
In a statement issued Friday, the agency said there have been a "limited" number of narcolepsy cases in people mainly in Sweden and Finland who got the Pandemrix shot, made by GlaxoSmithKline PLC.
Officials in France have also reported six cases of narcolepsy in three children and three adults.
The European agency doesn't know if the vaccine caused narcolepsy or if people just coincidentally got the disorder after getting vaccinated.
The agency approved Pandemrix in September and about 30 million Europeans have received the injection.
GlaxoSmithKline said it is conducting its own investigation into the possible link and said it was aware of the reported narcolepsy cases in a small number of countries.
In a statement, the drug maker said "the currently available information is insufficient to assess the likelihood of a causal relationship between Pandemrix and narcolepsy."