Unconfirmed reports in Brazil and the Netherlands say Scolari is suspected of failing to declare millions of dollars in income, but he has denied any wrongdoing.
"I have correctly filed all my tax returns. In all the countries where I've worked, I've always declared my income," Scolari said in a statement sent to the AP in Sao Paulo late on Tuesday. "If anything is wrong, it's not my fault. I hope justice gets to the bottom of the facts."
Officials at the Portuguese Football Federation, which employed Scolari as national coach, could not immediately be reached for comment.
If the Portuguese authorities decide to file charges based on what they find, Scolari would have to answer in a Portuguese court.
Tax evasion concerning large amounts of money carries a prison sentence in Portugal.
Scolari, who is Brazilian, led his country's national team to the World Cup title in 2002. He then coached Portugal's national team from 2003-08, and will again coach the Brazilian team at this year's World Cup.