The Star-Ledger of Newark (N.J.) said Williams was involved in an incident at a cell phone store at the mall.
"The Nets have been made aware of a police incident this afternoon involving Nets center Sean Williams," Nets General Manager Kiki Vandeweghe said in a statement. "We are currently looking into the details surrounding this incident, and since it is an ongoing police investigation, we will have no further comment."
The Nets are in Denver for a Monday night game with the Nuggets. Williams was not available for the game.
Williams, the 17th overall pick of the 2007 NBA Draft, has averaged just 2.5 points and 2.5 rebounds in under 12 minutes per game for New Jersey this season.