The sources said the shareholder bases of Cigna and Express Scripts have significant overlap. Cigna and Express Scripts shareholders are set to vote on the deal on Aug. 24.
Cigna announced the $54 billion deal in March amid a wave of consolidation in the health-care industry. Cigna's rival Aetna had agreed to combine with drugstore chain and pharmacy benefit manager CVS Health months earlier in a deal that shook up the space.
The Wall Street Journal first reported Icahn's stake in Cigna Wednesday.
Cigna's stock gained 1.3 percent Thursday, while Express Scripts shares rose 4.4 percent.
—CNBC's Angelica LaVito contributed to this report.