The ex-Saints captain recently revealed on Norwegian radio that he and his team-mates, and opposing captains, would regularly make money betting on events during games.
His revelations have caused a furore in football, prompting FIFA to begin an investigation into his comments.
The governing body are now contacting previous team-mates of Lundekvam in order to gather information about his declaration.
All-time Saints top scorer Matt Le Tissier has rebutted the accusation, tweeting: "Aside from that one incident in my book I've never been involved in any betting scams and have no idea of Claus Lundekvam’s claims."
Francis Benali, who succeeded Lundekvam as Saints skipper, echoed his sentiments.
"I can say categorically I have no knowledge of the betting allegations made by Claus," he said.
"Dressing rooms are very tight environments and if something was widespread, even if you weren't part of it, you would hear it being discussed and talked about."
The former Norway defender’s revelations appear to have little garnered support from his previous colleagues, who insist they have no knowledge of the practices they have been accused of.
David Hirst, who as at the club during the time the events are alleged to have taken place, stated he is unaware of any such allegations.
"It was a massive surprise to me that he [Lundekvam] came out with something like that," he said.
"I was never aware of anything taking place like that, not at Southampton or Sheffield Wednesday or Barnsley - or England for that matter.
"I have never been involved in anything like that and I have never heard of players doing it anywhere."
