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.
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.