Gattuso, a 2006 World Cup winner who also played for Rangers in the late 1990s, has been named by Italian media in a probe being carried out by Cremona's prosecuting office.
Former Lazio midfielder Cristian Brocchi is also included in the investigation, according to reports.
Both face allegations that they were involved in a betting ring that fixed Serie A and other Italian games in the 2010-11 campaign.
"Gennaro is stunned by the news," said Gattuso's agent Andrea D'Amico.
"I spoke to him and he is returning home (to Milan). We are remaining calm and we have to be patient and see how the investigation develops.
"However, just because he is under investigation does not mean anything. For all we know this could be just false allegations.
"Sometimes when you are a famous player, it is very easy for your name to appear and to be a target. We will wait and see how the situation develops."
Reports in Italy claim that Gattuso and Brocchi both had telephone contact with people that were arrested on Monday night by police.
The four taken into custody are charged with sporting fraud as part of 'Last Bet' operation, an investigation that began in 2010 and that has already led to 54 arrests, including current and former Italian players.
Gattuso, 35, retired from professional football earlier this year to pursue a coaching career, but he has been out of a job since being sacked as head coach by Serie B side Palermo in September.
Brocchi is currently a youth team coach at AC Milan.
Wow What a headline 'Gattuso 'shocked' by probe' Thought for a moment something had been put somewhere it shouldnt have been !!!- gunnergraham196