Citing local police, the official Xinhua News Agency reported that Tang was filming in Shanghai on Saturday afternoon when she received a phone call and was persuaded to go to a bank and wire the 210,000 yuan ($35,000).
Xinhua said police in Shanghai's Songjiang district were investigating after receiving a report from Tang.
Calls to the Songjiang police propaganda office and Tang's Beijing-based agent rang unanswered Sunday.
Tang shot to international fame playing a Chinese student activist who seduces a Japanese-allied spy chief in the World War II-era thriller "Lust, Caution." Her politically sensitive role as a traitor in the 2007 movie led to a three-year reported blacklisting by Chinese film officials.