The former glamour model believes the cagefighter kept her phone after their divorce and officers have confirmed they are investigating the allegations under Operation Tuleta - the Metropolitan Police's investigation into phone hacking.
A spokesman told MailOnline: ''We can confirm that Operation Tuleta is looking into an allegation of breach of privacy that may be connected to the alleged theft of a mobile phone.
''We are not prepared to discuss further at this time.''
Katie and Alex split up in January 2011 after 11 months of marriage, but their divorce only came through in 2012.
Katie - who has children Junior, seven, and Princess Tiaamii, five, with first husband Peter Andre, as well as 10-year-old Harvey from a relationship with Dwight Yorke - recently revealed she is expecting her fourth child with Kieran Hayler, who she married in January.
She said: ''It comes as a shock. But we're all over the moon. I'd be lying if I said I wasn't nervous because I've experienced miscarriages in the past.''
Katie, 34, and Kieran, 25, tied the knot after a whirlwind two-month romance but she has insisted she doesn't care what anyone thinks about their union.
She said: ''I know my marriage to Kieran is going to attract criticism and that there will be people selling stories on the back of their perception of me and my decision. I will take that criticism on the chin and argue my corner where I feel it is necessary.
''As usual, I get a hard time for my choices because I'm me - I still don't really understand why.''