Authorities said they had received several complaints about the event, which Brazilian media reported was being held at the player’s luxury condominium in Mangaratiba, around 105km down the coast from Rio.
The PSG player's media officer has denied he is hosting any event and his lawyers told AFP: "It has nothing to do with Neymar. We have no information about such an event."
State prosecutors said Neymar and the condominium's representatives had been asked to provide "details about the number of people invited, the party’s organization and the health measures adopted”.
However, Neymar’s media officer Day Crespo told Reuters the player “will not host any party this year, we are in the middle of a pandemic and he is with his friends and family”.
Crespo said the player had flown to the southern resort of Balneario Camboriu in Santa Catarina state. The 28-year-old posted a picture of himself on Instagram earlier on Wednesday which he tagged as being from Balneario Camboriu.
The player himself has not commented on the reported party since the news broke in Rio de Janeiro newspaper O Globo on Saturday.
After details of the event were revealed in the paper, the agency organising it said it would be subject to strict health rules to try to prevent the spread of the Covid-19 virus.
The event was private and all relevant permissions have been obtained, it added, without mentioning Neymar or the name of any host.
Earlier in the day, newspapers said guests had started arriving at the luxury condominium where the player owns property.
Reports said he had bought a disused hangar for the event and required all guests to give up their cell phones to prevent photos and videos leaking online.
The pandemic has killed more than 192,000 people in Brazil, a higher death toll than in any other country bar the United States.
On Wednesday alone, 1,194 people were reported to have died from Covid-19, the Health Ministry said.
The city of Rio de Janeiro, where millions of people gather each year on Copacabana beach to watch the world famous firework display every New Year's Eve, has cancelled this year’s event.
Additional reporting by Reuters.
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