The CB-CID has been asked to probe the fraud disclosed by Satyam founder Ramalinga Raju and they are looking into the matter, Reddy told reporters on the sidelines of second day of seventh edition of Pravasi Bharatiya Divas in Chennai.
Police sources said in Hyderabad that pressure was mounting for suo motu action, although they have not received any formal complaint so far.
If whether the state government was looking to withdraw projects awarded to Raju's family promoted firm Maytas Infra, Reddy said, "We are valuating it as everything happened in the last two days".
The Satyam fiasco: Complete Coverage
Raju's lawyer S Bharat Kumar claimed that the Satyam founder was still in Hyderabad and was amenable to the process of law.
On Wednesday, Ramalinga Raju admitted to financial irregularities to the tune of about Rs 7,800 crore (Rs 78 billion) at the company before resigning. His brother and managing director B Rama Raju also resigned from the company.
There were also reports that company's chief financial officer Valdamani Srinivas, who put in his papers yesterday, but Satyam denied such reports.
Chief Minister Reddy said the Satyam episode was "unfortunate" and "none of us expected this kind of this kind of thing would happen".
On whether his government was contemplating on bailout package he said, "the government of India is looking into it".