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'I have done absolutely nothing wrong': Mickelson

Andrew Redington | Getty Images

Golfer Phil Mickelson said Saturday that he had not broken the law and has cooperated with federal investigators looking into insider trading allegations involving billionaire investor Carl Icahn.

"I have done absolutely nothing wrong," the Masters champion said in a statement. "I have cooperated with the government in this investigation and will continue to do so. I wish I could fully discuss this matter, but under the current circumstances it's just not possible."

Read MoreIcahn, Mickelson probed for insider trading: Source

The FBI and securities regulators are investigating Icahn, Mickelson and gambler Billy Walters as part of an insider trading probe, the Wall Street Journal and New York Times reported on Friday.

Read MoreSEC, FBI probe Icahn over insider trades: Report

Icahn also denied any wrongdoing.