The Post Newspaper, which employs the journalists, said the affair demonstrated the government could not tolerate a free press.
Police spokesperson Rae Hamoonga said police had recorded statements from Fred Mmembe, the editor-in-chief of The Post Newspaper and a reporter about publishing a story based on classified information, which is against Zambian law.
"This relates to the publication of information from a letter written by the director-general of the Anti-Corruption Commission to President Edgar Lungu," Hamoonga said.
It was not clear whether the two would face charges.
Publishing classified information carries a sentence of up to 25 years in jail, according to Zambia's state security laws.
The story, published on April 17, said the Anti-Corruption Commission had written to Lungu saying his political adviser Kaizer Zulu was being investigated on suspicion of receiving a $200 000 bribe from a Chinese national seeking to meet the president.
The Post newspaper said in an editorial on Wednesday the government was intolerant of a free press.
"We know it is irritating for those occupying high offices to experience leaks of documents. But not every irritation should constitute a crime," the newspaper said.
Presidential spokesperson Amos Chanda declined to comment.
Hamoonga said police were also investigating leaks of other classified information, including details of a $193m Chinese loan meant to improve national security.
Greater access to information
The Post said on Saturday that Zambia's cabinet had approved the loan from arms manufacturer Poly Technologies Inc. of China but kept it secret.
The loan was meant for the supply and installation of security equipment, the newspaper said, citing a letter dated April 28 from secretary to the cabinet Rowland Msiska to treasury secretary Fredson Yamba.
Lungu said the publication of the story about the Chinese loan was unprofessional and the government would "think twice" before enacting the Freedom of Information Bill, which seeks to give journalists greater access to information.
Chanda told Reuters the Chinese loan was fully documented after a cabinet meeting but not announced as it touched on national security.
Poly Technologies is a subsidiary of China Poly Group Corporation, a defence manufacturer, which deals in missiles and other military products, according to its website.