The Wall Street Journal attributed its report to people familiar with the matter who requested to remain anonymous.
Dunn resigned abruptly Monday. Best Buy, the nation's largest consumer electronics chain, said it had launched an investigation into Dunn's "personal conduct" that was unrelated to the company's "operations or financial controls."
The company made the announcement on Tuesday but provided no details. Dunn was a 28-year company veteran who had been head of Best Buy since 2009.
Ron Hutcheson, a spokesman for Best Buy's board, declined to comment on the Journal's report.
