Judicial sources said prosecutors in Paris had opened a probe following the complaint from Macron.
"We will not hesitate to prosecute for defamation anyone who repeats this false information," a member of Macron's camp said.
During Wednesday's ferocious televised debate Le Pen said: "I hope that we will not find out that you have an offshore account in the Bahamas." Macron refuted the suggestion as "defamation".
Judicial sources said prosecutors in Paris had opened a probe following the complaint from Macron, which comes three days before Sunday's presidential run-off against Le Pen.
According to a source close to the case, the complaint targets "information that circulated Wednesday night on the internet" alleging tax evasion in the Bahamas.
Speaking on French radio Thursday, the centrist, pro-EU candidate characterised the insinuations as "fake news and lies" from "sites, some of which were linked to Russian interests".