Abdulrasheed Bawa, the head of the Economic and Financial Crimes Commission (EFCC), is accused of pleading with the governor of Zamfara state, Bello Matawalle, for $2 million.
On Wednesday, Matawalle instructed Bawa to make sure that the EFCC's investigation included members of the presidency as well as departing governors.
In response to Matawalle's remarks, the EFCC stated that the governor was under investigation for allegedly diverting N70 billion intended for state contracts.
However, Matawalle asserted that he is under investigation because he "didn't offer the EFCC chairperson the money he requested from him" in an interview with BBC Hausa on Friday.
"I'm not objecting to your probing," he declared. "No one has invited me, but I'm still the governor and have immunity.
"The EFCC stated that they were looking into me. They brought accusations against me just after I finished speaking.
"He (Bawa) is aware of the gift that I refused to give him despite his pleading.
"The accusations against me are false. He pleaded with me for a $2,000,000 donation. He informed me he wants to meet me at a house where I first met him and he is aware of it."