The agency said it was concerned about the well-being of its president.
Meng Hongwei (孟宏偉), 64, was last seen leaving for China late last month from Interpol headquarters in Lyon, France, a source close to the inquiry told reporters.
The National Supervisory Commission, which handles corruption cases involving public servants, broke the official silence early Monday, saying in a one-line statement that Meng "is now under investigation on suspicion of violating the law".
The only clue has come from the Hong Kong-based South China Morning Post, which has strong sources...
The French police acted swiftly and launched a probe for Meng on Friday after being contacted by his wife.
What is the full Interpol statement?
Interpol has made a formal request to China for information about its missing Chinese president who seemingly vanished on a trip home, citing concerns for his well-being.
"Yellow notices" are issued for missing persons.
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AInterpol said it was aware of the reports of Meng's "alleged disappearance".
It adds that a "suitable police mechanism" was put in place to guarantee her safety, and that the prosecutor's office in Lyon has opened an investigation.
Who is Meng Hongwei?
Before being elected head of Interpol in November 2016, Meng was vice minister of public security in China.
He heads the organisation's Executive Committee, which provides overall guidance and direction.
Meng is also a vice minister for public security in China. His appointment also sparked concern about China extending its crackdown on dissidents overseas.
In the role Meng has been entrusted with a number of sensitive portfolios, including heading up the country's counter-terrorism division, which saw him in charge of the response to several major incidents in China's fractious western region of Xinjiang.
French police are investigating what is officially termed in France a "worrying disappearance". The official in question suddenly drops out of the public eye and an alarm is raised that the person is "missing", usually by members of the public. The Central Commission for Discipline Inspection, the party's secretive internal investigation agency, had no announcements on its website about Meng and couldn't be reached for comment.
Chinese president Xi Jinping has presided over a popular anti-graft drive since coming to power in 2012 that has punished more than one million officials, with critics comparing it to a political purge.