Under Thai law anyone convicted of insulting the king, queen, heir or regent can face up to 15 years in jail on each count.
Prosecutions have surged since the royalist army grabbed power last year, with record breaking sentences handed down in recent months to transgressors.
The Foreign Correspondent's Club of Thailand (FCCT), which represents international media inside the junta-run kingdom, said it had been asked to cooperate in the probe after US ambassador Glyn T. Davies delivered a speech there last month.
"The FCCT is cooperating with the police," it added.
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A senior Thai police source confirmed to AFP that they had received a complaint and were investigating the ambassador's comments.
In a wide-ranging talk to the FCCT, which also heaped praise on the 88-year-old Thai King Bhumibol Adulyadej, Davies expressed concern at long jail terms by military tribunals for alleged lese majeste.
"We believe no one should be jailed for peacefully expressing their views and we strongly support the ability of individuals and independent organisations to research and to report on important issues without fear of retaliation."
In Thailand any member of the public can make an allegation of royal defamation and police are duty bound to investigate -- a situation critics of the law say often results in an effective witch-hunt.
Ambassador Davies comments centred on criticism of the royal defamation law, not the royal family.
However in recent years the law has been increasingly broadly interpreted.