A federal official told AFP that the attorney general's office wants to talk with Penn and Mexican actress Kate del Castillo about their secretive meeting with Guzman in October, three months before his capture.
"That is correct, of course, it's to determine responsibilities," the official said on condition of anonymity, declining to provide more details.
A second federal official said it was unclear whether Penn and del Castillo, who brokered the meeting, committed a crime.
While a reporter could interview a drug cartel suspect, "they're not journalists," the official said.
White House chief of staff Denis McDonough told CNN that Penn's meeting with Guzman "poses a lot of interesting questions for him and others involved in this so-called interview. We'll see what happens."
The US rock magazine Rolling Stone on Saturday published the interview that Guzman gave to the actors in an undisclosed jungle clearing in Mexico.
Despite Penn's cloak-and-dagger efforts to keep the gathering secret, a Mexican official told AFP that the meeting eventually helped authorities track down the Sinaloa drug cartel chief.
Guzman, 58, who was arrested on Friday in a deadly military raid in the seaside city of Los Mochis, in his northwestern home state of Sinaloa.
Attorney General Arely Gomez said on Friday that Guzman had met with unnamed actors and producers to discuss making a biopic about himself. She said it was part of a "new line of investigation," without elaborating.
But Mike Vigil, a former senior official at the US Drug Enforcement Administration, said Penn is unlikely to face charges.
"I seriously doubt that charges will be brought against them even though Sean Penn took extraordinary steps to prevent authorities from using his phone to track the whereabouts of Chapo," Vigil told AFP.
"I am sure that authorities, however, will want to question both of them," he said.
Rolling Stone posted an October 2 picture showing the Oscar-winning actor shaking hands with the mustachioed drug cartel leader, who is wearing a blue shirt.
Penn writes that the 58-year-old Guzman gave him a "compadre" hug when they met and had a seven-hour sitdown followed by phone and video interviews.
"I supply more heroin, methamphetamine, cocaine and marijuana than anybody else in the world," Guzman told Penn in an admission of his criminal enterprise over sips of tequila.
"I have a fleet of submarines, airplanes, trucks and boats," Guzman said.
McDonough said Guzman's boast to Penn about his trafficking exploits "is maddening."
Rolling Stone also published a video showing Guzman without a mustache, saying he decided to go into drug trafficking after the age of 15 because there were "no job opportunities."
"Unfortunately, where I grew up, there was and there is no other way to survive," Guzman said to questions that Penn sent to him.
Asked if he feels responsible for the high level of addictions in the world, he said: "It's false. The day that I don't exist, it won't reduce drug trafficking."
In a text message exchange days after their meeting, Guzman discusses a marine helicopter raid that almost captured him on October 6. He downplayed injuries to his face and leg reported by the authorities, saying: "Not like they said. I only hurt my leg a little bit."
Authorities said the marines did not shoot Guzman during the raid because he was accompanied by two women and a girl, but that he hurt himself by falling.
The Rolling Stone interview emerged after Mexican prosecutors announced that they would start proceedings to extradite Guzman to the United States, a reversal from President Enrique Pena Nieto's refusal to send him across the border.
The attorney general's office said it received two US extradition requests last year on a slew of charges, including drug trafficking and murder, and that it later obtained arrest warrants to ship him across the border.
But Guzman lawyer Juan Pablo Badillo vowed to appeal to the Supreme Court if necessary.
"He shouldn't be extradited because Mexico has a fair Constitution," Badillo told reporters outside the Altiplano prison near Mexico City, where Guzman was sent following his arrest.
It was from that prison that Guzman escaped on July 11, sneaking into a hole in his cell's shower that led to a 1.5-kilometer tunnel outside the prison.
A federal official insisted that Altiplano remains a highly-secure prison and that measures were taken to improve security, with metal rods placed under cell floors.
The world's most wanted drug baron was arrested after a military raid on a house in Los Mochis in which five suspects died and one marine was wounded. Six people were detained in the operation.
Guzman and his security chief fled through the city's drainage system, but they were caught later after they stole a car.