"I hope we don't learn that you have an offshore account in the Bahamas," Le Pen declared towards the end of a debate that was judged to be of an "unprecedented brutality" by the press.
Macron on Thursday denied having any such account and accused the far-right candidate and her National Front (FN) of spreading lies and fake news, "some of them linked to Russian interests".
He filed a case against person or persons unknown for spreading fraudulent rumours and his campaign team has threatened to sue anyone who "repeats this false information" for libel.
According to his campaign team the rumour originated with supporters of US President Donald Trump and spread to Russia via Twitter before spreading to French social media shortly before the debate.
Russian interference alleged
In an echo of allegations of Russian interference in last year's US presidential election, Macron's team has accused Russian media of targeting his campaign with fake news, a charge denied by one of them, Russia Today, in an email to RFI.
The documents referred to as evidence are "crude forgeries", Macron's En Marche ! (Let's Go!) movement said in a statement that announced that legal action was underway.
Le Pen claimed the remark was "not an insinuation" on Thursday.
"I put a question to him. I don't want things to be discovered, perhaps too late, concerning Emmanuel Macron," she told French TV. "Don't we even have the right to put questions to him now?"
FN vice-president Louis Aliot referred to "two American sites who do in fact talk about tax-dodging by M Macron", adding that all would no doubt become clear during the day.
France's anti-corruption watchdog examined Macron's declaration of wealth in March and found no grounds for complaint.
Millions watched but football clashed
The debate was watched by nearly 16.5 million people, a lower audience than for the final debates before the 2007 and 2012 presidential elections, possibly because it clashed with a Monaco-Juventus match on another channel.
It appears to have changed few voters' minds, if a poll by BMFTV is to be believed.
It indicated that 63 percent of the audience found Macron more convincing than Le Pen, roughly the same as the 60 percent support he has had in the polls.
Globalisation, hatred and lies
Le Pen, who accused her rival of being the "system's sweetheart", "soft on Islamist fundamentalism" and the "candidate of unrestrained globalisation", on Thursday admitted that the confrontation had "shaken up the codes a bit" but insisted that her behaviour was justified to "wake up the French people".
Macron, who hit back with accusations that she was spreading "hatred" and "lies", defended his decision to debate with Le Pen "even if one gets a bit dirty".
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Mainstream right candidate Jacques Chirac refused to debate with Le Pen's father, Jean-Marie, during the 2002 election, arguing that it would give the FN's ideas more respectability.
Macron said he had thought about Chirac's stance but felt he had to face his opponent.
"You don't get to dispose of all the lies but you kill some of them," he said.
The pair clashed on immigration, Europe, the economy and social rights in a two-and-a-half-hour duel that ended shortly before midnight.
To read our French presidential election 2017 coverage click here