The investigation follows statements by several former employees at the magazine Se og Hor that reporters used credit card information from the informant to find out the whereabouts of Danish royals and celebrities between 2008 and 2012.
Police spokesman Carsten Janson said Tuesday that police will begin investigating whether an employee at credit card firm Nets leaked information illegally.
The publisher of the magazine said it has started an internal investigation into the affair, which has been compared to the British telephone hacking scandal at tabloid News of the World.
Chief editor Niels Pinborg denied having any knowledge about systematic surveillance.
