Maurice Agnelet was this week accused by his son of killing Agnes Le Roux, 29, during a camping trip to Monte Cassino in Italy in 1977, in the latest twist in a sensational case which has gripped France.
"We are carrying out an initial investigation, the results of which will be communicated to the local public prosecutor's office," Captain Silvio De Luca, chief of the Carabinieri military police in Cassino south of Rome, told AFP.
Le Roux's body was never found and Agnelet, 76, is currently undergoing his third trial for her murder.
The former lawyer was initially acquitted of the murder but convicted on appeal in 2007 to serve 20 years - a verdict that was eventually overturned by the European Court of Human Rights.
On Monday Agnelet's son Guillaume claimed both his father and his mother had separately said that he had murdered Le Roux.
He said his mother had confided to him that his father killed Le Roux in her sleep during a camping trip in Italy, shooting her in the head and dumping the body by the side of the road.
Agnelet then supposedly threw the gun he had used in a river and left the white Range Rover car the couple had been driving at a train station with the keys inside, before taking a train back to France.
Guillaume said his father had also confessed in the 1980s to knowing the location of the corpse.
Agnelet had been having an affair with Le Roux, the heiress to the Palais de la Mediterranee casino in Nice, at the time of her disappearance - which came several months after she sold her shares in the casino to a rival Italian company.
The money - three million francs, worth about €1.7 million today - ended up in an account in Agnelet's name.
He was initially the prime suspect in the case but produced an alibi when another mistress claimed he was with her in Switzerland at the time. She later admitted she had lied and the case was re-opened.