Early unconfirmed reports say that the pictures were taken without her consent.
OCPD Asst Comm Arjunaidi Mohamed confirmed a report was lodged and that police were investigating.
The pictures are believed to have been taken using a handphone, possibly before the general election last March.
On Monday morning, Wong's staff had locked the doors to her office at the state assembly building in Shah Alam.
Her special assistant Chua Yee Ling said the assemblyman was at a meeting and would be releasing an official statement on the issue on Monday afernoon.
Wong won the Bukit Lanjan seat with a majority of over 5,000, the second largest majority won by a PKR state assembly candidate in Selangor.
She was later appointed a member of the Selangor state executive council, in charge of Tourism, Consumer Affairs and the Environment. She is also the information chief of the Women’s wing of PKR and of her division Petaling Jaya Utara.
As at press time, she had not commented on the issue on her
Selangor Mentri Besar Tan Sri Khalid Ibrahim urged the police to conduct a proper investigation into the matter.
He told reporters outside Parliament that the Selangor state executive council would discuss the matter during its meeting on Wednesday.
PKR president Datin Seri Dr Wan Azizah Ismail said she was sad about the nude pictures being circulated.