The investigation stems from allegations published on RadarOnline.com that Rodriguez played in at least two underground games that took place at a record executive's Beverly Hills mansion.
According to the report, A-Rod was at one game that involved some people openly using cocaine and a fight over one player not wanting to cough up his $500,000 in losses.
He had already received warnings about his participation in underground poker games six years ago from the Yankees' organization and commissioner Bud Selig.
ESPN's anonymous source said that Selig is "fed up" with the Yankees slugger.
SI.com reported that Selig himself intends to interview Rodriguez about these latest allegations. If the investigation confirms Rodriguez's participation in the games in Beverly Hills, he could face a suspension from Major League Baseball.
This isn't the first time this season that A-Rod has drawn the scrutiny of the league., Major League Baseball investigated Rodriguez's contact with a cousin who was banned from the team for his role in the player's using performance enhancing drugs back in 2003.
Rodriguez is currently on the 15-day disabled list with a torn meniscus in his right knee, and he is expected to remain out of action until mid-August.