Biagi was assassinated by the extreme-left Red Brigades as he made his way home in March 2012, shortly after Scajola, who was interior minister at the time, had taken away his police escort.
Scajola is currently in jail in Rome after being arrested earlier this month for allegedly helping Calabrian businessman Amedeo Matacena escape a five-year-jail term for a mafia collusion conviction.
During that investigation, police found a note written to Scajola from a politician, allegedly warning him that Biaggi, who was 51 when he died, was in danger, La Stampa reported on Wednesday.
Prosecutors are now looking into whether Scajola and other officials are guilty of murder by omission after failing to do what they could to prevent the murder.
Scajola was forced to resign as interior minister in July 2002 after being caught in a wire-tap vilifying Biagi.
Scajola, who also served as industry minister under Silvio Berlusconi’s government, has long been dogged by scandals.
He was forced to resign again in 2010 over allegations that he bought a luxury flat next to Rome's Colosseum with bribes but was later cleared after claiming he did not know it was being paid for by someone else.