Number 10 has rejected suggestions that Gordon Brown was told by the Conservatives that the police had bugged Labour MP Sadiq Khan.
Justice secretary Jack Straw has ordered an inquiry into how Khan, who is a government whip, was bugged while speaking to a constituent, Babar Ahmad, who is being held in prison.
Ahmad is awaiting deportation to the USA over the alleged running of a website raising funds for Taliban and Chechen terrorists in the 1990s.
The Sunday Times said it had seen a document which showed there was internal police concern about bugging the MP, but it went ahead anyway.
Khan told BBC1's Andrew Marr show he was concerned but "pleased Jack Straw, as soon as he heard about these allegations yesterday, has ordered an inquiry".
"I'm obviously keen... to find out whether the allegations are true because the implications clearly are quite serious," he added.
"For people to feel confident in the police and Security Service we need to know whether this has happened."
And shadow home secretary David Davis added to the controversy, telling BBC Radio 4's World this Weekend that he had written to the prime minister last December to say that a Labour MP was being bugged.
Gordon Brown was told that Davis had "reason to believe" an MP had been bugged.
The shadow home secretary said he asked the prime minister to look into it "but I haven't heard a word since".
But Downing Street said there was no record of the warning letter being received.
"We have received a number of letters from David Davis since the beginning of December, on matters such as the Humber bridge, the Security Industry Authority and licensing laws," said a spokesman.
"But having conducted a detailed check, we have no record of receiving a letter about the bugging of MPs.
"Consequently the prime minister knows nothing about this letter."
A Conservative spokesman responded: "So now they lose tax records on CDs, army databases on laptops and critical security letters from MPs."
Meanwhile, Straw said he also had no knowledge of the facts and ordered an internal inquiry.
"It is completely unacceptable for an interview to be conducted by a MP on a constituent matter or in any other issue to be recorded," said the justice secretary.
The taped conversations were said to have taken place at Woodhill prison, Milton Keynes in 2005 and 2006.
4 February 2008