Gregory displayed what appeared to be a 30-bullet magazine Sunday during a Washington interview with National Rifle Association Executive Director Wayne LaPierre.
Politico said Gregory asked LaPierre whether fewer children would have died during the Sandy Hook elementary massacre if the gunman had access to fewer bullets.
A Washington Metropolitan Police Department spokesman wouldn't comment specifically on what they are investigating, but cited Washington code violations and restrictions on guns, Politico said.
A section in the city's code says that no one "shall possess, sell, or transfer any large capacity ammunition feeding device regardless of whether the device is attached to a firearm."
ABC News reported NBC contacted D.C. police before Sunday's show to inquire whether it would be permissible to use a high-capacity magazine during the segment with LaPierre.
"NBC was informed that possession of a high capacity magazine is not permissible and their request was denied," MWPD spokeswoman Gwendolyn Crump told ABC.
NBC News declined to comment, ABC said.