A statement on the website of a provincial government in central China said Li was being probed by a disciplinary arm within the General Administration of Sport, but did not specify his alleged offences.
One of China's most recognisable footballers, the 45-year-old played for Premier League side Everton between 2002 and 2006 and made more than 90 appearances for his country.
Li took charge as the national team's head coach in 2020 but stepped down last year during a poor qualifying campaign that eventually saw China fail to reach the Qatar World Cup.
Chinese President Xi Jinping has targeted official corruption since coming to power a decade ago, waging a sweeping crackdown that critics say also serves as a way to oust political rivals.
Xi has described himself as a football fan and said he dreams of China hosting and winning a World Cup one day.
But that ambition has faded as stringent zero-Covid curbs have forced Beijing to pull out of hosting major sports events such as the Asian Cup.
(For more sports news and updates, follow Ahram Online Sports on Twitter at @AO_Sports and on Facebook at AhramOnlineSports.)