The party's watchdog for graft and political disloyalty said on its website that Meng Hongwei, China's vice minister of public security, is "suspected of violating the law and is now under the monitoring and investigation" of China's new anti-corruption body, the National Supervision Commission.
Grace Meng, whose husband Meng Hongwei seemingly vanished while on a trip home to China, said she had not heard from the Interpol chief since September 25.
Meng is China's vice minister of public security as well as president of the International Criminal Police Organization.
Meng Hongwei was last seen in Lyon and reports of his disappearance first surfaced on Friday.
The Central Commission for Discipline Inspection has now confirmed that the official is being under investigation on its official website on Sunday.
Making her first public comments on the mystery surrounding Meng Hongwei's whereabouts, Grace Meng told reporters in Lyon, France - where Interpol is based - that she thinks the knife was her husband's way of trying to tell her he was in danger.
Meng's wife said he had travelled back to China for work, after a visit to the Nordics.
Earlier that day she had sent him a photo of two animal figurines, one of a bear and another of a horse, meant to represent their two children; one of them loves horses, she said, and the other "looks like the bear".
On Saturday, the global police agency urged China to clarify Mr Meng's status, saying it was concerned about the well-being of its president.
The organisation's secretary general, Jürgan Stock, has demanded a "clarification" from Beijing.
When asked about the Chinese announcement on Sunday, France's Interior Ministry said it had no information.
"France is looking into the situation of the president of Interpol and is concerned about the threats his wife has received", the ministry said in a statement.
Grace Meng urged national governments to intervene, saying she feared that her husband's life was in danger.
After China admitted it had Meng in custody, the paper quoted Beijing-based political commentator Zhang Lifan, who said: "I guess something urgent must have happened". Citing an unnamed source it said Meng had been "taken away" for questioning by disciplinary authorities "as soon as he landed in China".