US golfer Phil Mickelson has confirmed that FBI agents investigating insider trading approached him at a tournament this week.

The winner of five major championships says he has done “absolutely nothing wrong”.

A federal official briefed on the investigation has said the FBI and Securities and Exchange Commission are analysing trades Mickelson and Las Vegas gambler Billy Walters made involving Clorox at the same time activist investor Carl Icahn was attempting to take over the company.

The official was unauthorised to speak about the ongoing investigation and spoke to The Associated Press on condition of anonymity.

Reports of the investigation appeared in several newspapers, including the Wall Street Journal.

Smiling as he stood before a room packed with reporters and cameras, Mickelson said the investigation had not been a distraction until FBI agents approached him after Thursday’s opening round of the Memorial Tournament.

He did not offer any other details, including his relationship with Walters or any stock advice he might have received.

He said it would not affect his preparations for the US Open in two weeks, the only major he lacks for the career Grand Slam.

“It’s not going to change the way I carry myself,” Mickelson said after an even-par 72 at Muirfield Village left him far behind the leaders.

“Honestly, I’ve done nothing wrong. I’m not going to walk around any other way.”

The federal official told the AP that Mickelson and Walters placed their trades at about the same time in 2011.

Federal investigators are looking into whether Icahn shared information of his takeover attempt of Clorox with Walters, and whether Walters passed that information to Mickelson.

The New York offices of the US Attorney and the FBI declined to comment.

The newspaper reports said federal officials also were examining trades by Mickelson and Walters involving Dean Foods Co in 2012.

After a brief interview, Mickelson stepped outside and signed autographs for about 20 minutes, like it was any other day at a tournament.

Fans were supportive as ever on the golf course, and Mickelson gave away so many golf balls to children that his caddie had to ask a tour official to retrieve more balls from his locker when they reached the turn.

He released a statement early on Saturday.

“I can’t really go into much right now, but as I said in my statement, I have done absolutely nothing wrong,” Mickelson said.

“And that’s why I’ve been fully co-operating with the FBI agents, and I’m happy to do in the future, too, until this gets resolved.”