The Daily Mail reports that about £3m of the fee went missing.
Bebe's arrival at Old Trafford raised eyebrows in August 2010 after Alex Ferguson admitted he had never seen the Vitoria Guimaraes player in action.
Bebe ended up making just three starts for United - none in the league - and was clearly out of his depth before he was loaned out to Turkish side Besiktas.
The Mail's report says: "Now it has emerged that Portuguese police are looking into the deal to find out where around £3m of the money has gone. Their anti-corruption department have scheduled hearings with various witnesses in Iberia.
"There is no suggestion that United did anything wrong and they have previously gone on record as saying none of the transfer fee went directly to an agent. On Friday night United declined to comment.
"Directors at Vitoria claimed at a board meeting 18 months ago that around three million euros went to Bebe’s agent, Jorges Mendes, as part of the deal. On Friday night, Mendes’ company Gestifute did not confirm or deny that police have been in touch."
Elsewhere in today's papers, the upcoming Merseyside derby in the FA Cup features heavily, with David Moyes claiming in several publications that his Everton side have got the neutrals' backing.
That view is easy to understand when reading a story in The Sun which quotes Luis Suarez as saying he would be willing to repeat his "shameful" World Cup handball at Wembley today.
The Uruguayan striker - hardly the most liked man outside the red half of Merseyside at the moment - shocked the world when he handballed on the goalline in the last minute of the 2010 World Cup final against Ghana.
He saw red for denying what would have been a clear goal and was widely condemned for his actions after Ghana missed the resulting spot kick and his side went on to win the match.
But Suarez remains unrepentant and says he would do it all again for Liverpool.
He said: "The sacrifice I made was because it was so important for Uruguay to make the semi-finals. Now I want to win this semi-final.”
“It will take an enormous effort but I am dedicated to the team. If I am obliged to stop a ball in the last minute and we win, then I will repeat the action.
“Success for Liverpool is more important to me than anything else. But I do hope there is no drama like this for me... ”
Despite his words, it would still be shocking if he were to do something similar, but two men who will not be at Wembley to see if he does or not are John W Henry and Tom Werner.
Liverpool's principal owner and chairman will miss the FA Cup semi-final having returned to the US to watch the Boston Red Sox take on Tampa Bay Rays at Fenway Park.
Having been on Merseyside this week to fire Damian Comolli, their trip has proved to be a short one as the Red Sox's first home game of the season appears to be more important than the game at Wembley.
The Guardian reports: "Fenway Sports Group's problems have not been confined to Liverpool this year, with the Red Sox losing four of their opening five matches of the season. The first game at Fenway Park, which celebrates its 100th anniversary next week, marked the home debut of the new Red Sox manager, Bobby Valentine.
The paper adds: "There are 162 games in a Major League Baseball season."
Meanwhile, the Daily Mail reports that Liverpool can forget about hiring Johan Cruyff as a replacement for director of football Comolli.
The Ajax and Holland legend, who has just quit a post in the Dutch club's boardroom, is reportedly the Reds' top choice for the role.
But an Ajax source told the Mail: "His children and grandchildren are all with him in Barcelona, where he has lived for the past 24 years. He will be 65 in less than a fortnight. He is not going to uproot now and move to Liverpool."
Meanwhile, Liverpool boss Kenny Dalglish is tracking Mexican star Hector Herrera (Daily Mirror) and striker Nathan Ecclestone is thought to be a target for Dutch side PSV Eindhoven (The Sun).
The Daily Mirror claims that Swansea's strict wage policy will prevent any move for Aston Villa defender James Collins and The Sun reports that Tottenham winger Andros Townsend, currently on loan at Birmingham, is willing to consider a permanent move there.
And finally, the Daily Mirror reports that Harry Redknapp will finally take his place in the England dug-out - but only for a day as his Tottenham side have been given the home dressing room at Wembley for Sunday's FA Cup semi-final with Chelsea.
The reports states: "Redknapp gets the hump at any suggestion his Spurs side’s recent slump...has anything to do with the bookies making him overwhelming favourite to replace Fabio Capello as the Three Lions' gaffer.
"But on his first visit to Wembley since Don Fabio walked out two months ago, there will an inescapable sense of Redknapp settling into his natural habitat as he takes his seat on the touchline."