Phil Townsend, United's director of communications, said United are investigating it.
He told the Supersoaraway Sun: "We have launched our own investigation and if necessary will involve the police."
The tapes began with Ferguson rallying his troops, The Sun said.
At half-time, Fergie could clearly be heard encouraging the players, stressing the need to clamp down on Chelsea midfielder Claude Makelele.
He gave Ruud van Nistelrooy and Wayne Rooney advice on improving their game, and told his team to keep the ball away from John Terry in the air.
The Sun say that Ferdinand commented that the win would have silenced the team's critics, and questioned a teammate about what he was up to later that evening.
Rooney asked if anyone knew the score from Everton's game against Middlesbrough.
The players burst into laughter when they heard Fergie swearing in a post-match television interview and 'hurled abuse' when offered his analysis to the cameras.
The gang had demanded tens of thousands of pounds (euros, dollars) for the United tapes and more money if they contained "juicy" information.