A company spokesman who first denied its existence acknowledged it was real after being contacted by the Connecticut attorney general, The Hartford (Conn.) Courant reported.
Best Buy is "cooperating fully" with the attorney general's investigation, spokesman Justin Barber said.
When in-store customers inform Best Buy sales people of a cheaper price on BestBuy.com, they can be shown an internal Web site, which looks identical to the public Web site but does not always show the lowest price, Attorney General Richard Blumenthal said.
Best Buy of Minneapolis insisted its policy was to give customers the best price.
"Although we have an intra-store Web site in place to support store operations (including products and pricing), we are reminding our employees how to access the external BestBuy.com Web site to ensure customers are receiving the best possible product price," the company said in a statement.