The preliminary enquiry is against Agarwal and unknown officials of HZL, the ministries of disinvestment and mines, CBI sources told PTI.
Vedanta spokesperson did not respond to queries in this regard.
It is alleged in the enquiry that Sterlite Industries, part of Vedanta Resources, had picked up a stake in HZL at an undervalued price resulting in the estimated loss to the exchequer, sources from the investigating agency said.
The company has been merged with another group Sesa Goa in August this year and renamed as Sesa Sterlite.
The sources alleged serious flaws in the disinvestment process undertaken by the then government in 2002.
CBI sources said a preliminary enquiry has been registered and notices will soon be issued to Agarwal, and officials of Ministry of Disinvestment and Ministry of Mines to join the probe along with relevant records of the stake sale.
A statement issued by then Ministry of Disinvestment at the time of disinvestment, however, had justified the stake sale to Sterlite, saying there was a spurt in the share prices of HZL after the successful disinvestment of VSNL, IBP, etc.