The stocks fell sharply after Bloomberg reported that antitrust officials are poised to file lawsuits blocking Anthem's acquisition of Cigna and Aetna's linkup with Humana, citing a person familiar with the matter.
If the deals were to go through, the industry would switch from one with five large players into just three, and some expect that would hurt competition and result in higher prices for consumers. According the Bloomberg report, that is one reason the regulator may move to block the deal, and divestitures would do little to alleviate these concerns, these people said.
Shares of Humana fell more than 5 percent Tuesday afternoon, while shares of Anthem, Aetna and Cigna fell more than 2 percent, 3 percent and 2 percent, respectively.
The Humana-Aetna deal appeared to be in trouble earlier this month after it was reported that the DOJ wanted to meet with the companies. That meeting came two weeks after the DOJ met with Anthem and Cigna about their merger plans.
Associate Attorney General Bill Baer told representatives of Anthem and Cigna that their proposed merger raises significant antitrust concerns and any proposed fix isn't likely to remedy the problems, according to a MLex report, which cited unnamed sources.
Spokespeople for Cigna and Anthem declined to comment. Humana officials weren't immediately available to comment.
An Aetna spokesman declined to comment, saying, "We do not comment on rumor or speculation. We remain steadfast in our belief that this deal is good for consumers and the health care system on the whole."
Anthem's stock has fallen somewhat this year, falling more than 5 percent.
ANTM 2016 Chart
Cigna's stock has fallen more than 11 percent this year.
CI 2016 Chart
Aetna's stock has risen this year, rising more than 6 percent.
AET 2016 Chart
Humana stock has dived this year, falling more than 14 percent.
HUM 2016 Chart
-- CNBC's Bertha Coombs contributed to this report.