Last month the former secretary general of the CAF, Amr Fahmy, called on the Ethics Committee of football’s governing body to look into allegations of corruption and sexual harassment against Ahmad Ahmad.
Fahmy has since been dismissed.
Ahmad Ahmad is accused of forcing the CAF to buy sportswear at inflated prices through a French company, rather than directly from the manufacturers.
A statement from Fifa said the organisation was not aware of the details of the investigation and could not make any comment.
The communiqué says that Fifa wants to “eradicate” any connection with misappropriation or doubtful conduct at any level in the football world.
Anyone who has committed illicit or illegal acts has no place in the football world, Fifa declares.
Gianni Infantino was reelected, un opposed as Fifa president on Wednesday.