The investigation, first reported by the New York Post, involves the Follieri Foundation, a charity whose work includes vaccinating children in Third World countries. Italian businessman Raffaello Follieri, 29, dates the actress.
Spokesman Matt Glazer said the attorney general's office couldn't comment further on an ongoing investigation.
The Follieri Foundation has not filed IRS tax disclosure forms required from charities, according to a review of records by the Associated Press.
The Post reported that Hathaway was previously on the foundation's board of directors, but it was unclear when or for how long.
"There is an investigation going on that does not involve Anne," said Stephen Huvane, Hathaway's publicist, in an e-mail. "She is no longer a board member of the Follieri Foundation. Other than that we will not be commenting."
The foundation Web site was not operating Monday afternoon and even the Google "cache" - a snapshot of what had been on the site - was removed.
The number for a Raffaello Follieri in New York at a 5th Avenue apartment was disconnected.