Attorney general's office spokesman Kevin Harley said the agents were with the Insurance Fraud Division. He declined to comment further.
Malia has been under scrutiny by his church since December reports in The New York Daily News depicted him as a denizen of Manhattan's hottest clubs and a big spender who leaves five-figure tips.
Malia has said his presence at clubs is an outgrowth of his fundraising and business activities.
Information from: The Morning Call, http://www.mcall.com