Italian newspaper Il Tempo reported on Wednesday that hackers with knowledge of the deal tricked the Serie A club into paying the money into the wrong bank account in the Netherlands.
Lazio received an email that appeared to be from the Dutch champions asking for the €2 million along with bank account details, and duly sent the money.
But Feyenoord never received the cash and claim to have no knowledge of the email.
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Il Tempo said that the prosecutor looking into the case has tracked down the money to a Dutch bank account, which doesn't belong to Feyenoord.
The 26-year-old joined Lazio in 2014 for €7.7 million after a successful World Cup with the Netherlands but will leave for nothing this summer after failing to extend his contract.
De Vrij has reportedly been targeted by six-time defending champions Juventus with interest also from English clubs Manchester City and Manchester United.
But Gazzetta dello Sport reported the centre-back is ready to sign for Inter Milan on a free transfer this summer.
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