Police said they contacted Canseco during the morning and he had agreed to be interviewed, the Las Vegas Sun reported. The questioning had yet to take place.
Canseco, 48, who lives in Las Vegas, clubbed 462 home runs, was a six-time all-star and won two World Series championship rings during a big-league career with seven teams that ran from 1985 to 2001 -- but was tainted by his admission he used steroids.
The Sun said Canseco publicly proclaimed his innocence in the sexual assault case and reportedly indicated his willingness to take a polygraph test.
No charges had been filed and police did not provide details of the allegations.
"He's being investigated for an alleged sexual assault, and that's it," metro police Sgt. John Sheahan said.
Entertainment news website TMZ reported its law enforcement sources said the person who filed the rape report is a fitness instructor who lives in Las Vegas and the incident allegedly occurred May 10.
TMZ said Canseco posted the following message on his Twitter page: "[The accuser] told police that I druged her and then raped her. hmmmmm. lets find out what really happened."
Canseco was en route to Texas to join the Fort Worth Cats minor league team as a player/coach, the Sun said.