Ronaldo was heard as a "witness and victim" in "complete discretion" by the judicial police while in the country playing for Portugal in the League of Nations finals, Diario de Noticias reported.
Asked for details by AFP, the police did not respond.
The Juventus striker was one of the main targets of Portuguese hacker Rui Pinto.
The financial revelations caused Ronaldo problems with the Spanish tax authorities. Pinto's leaks also revealed accusations of the rape, which he denies, of the American Kathryn Mayorga.
Pinto was extradited from Hungary in March and arrested on his return to Portugal.
His lawyers have argued that Pinto is a "very important European whistleblower" and said this week that his continued pre-trial detention amounted to organised "judicial harassment".
The Portuguese authorities suspect Pinto accessed the computer systems of the Portuguese state, the Sporting Lisbon football club and the investment fund Doyen Sports and then published confidential documents on a website.
The hacker then asked Doyen for money to hush up compromising documents, but has said this was part of his attempt to show the dishonesty in football.
Last week, Portuguese weekly Sabado reported that the prosecutor's office wanted to broaden the scope of the investigation and extend Pinto's detention.