A FIFA spokesman confirmed the letter but emphasised it was a preliminary inquiry.
Nigerian media reports have widely quoted Dilichukwu Onyedinma, head of the country's women's football league, as saying lesbian players would not be allowed to compete.
"Any player that we find is associated with it will be disqualified," Onyedinma was quoted as saying.
"We will call the club chairmen to control their players, and such players will not be able to play for the national team," she added.
Gay rights campaigners including the Federation of Gay Games, the European Gay and Lesbian Sport Federation, Football v Homophobia and AllOut said they had written to FIFA President Sepp Blatter about the alleged ban.
"The organisations sending this letter believe that FIFA must now take firm," said the campaigners in a statement.
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