"I find it frustrating that, despite public statements professing cooperation and an expressed desire to resolve the various investigations that it faces following its calculated deception, Volkswagen is, in fact, resisting cooperation by citing German law," Jepsen said in a statement.
A source briefed on the matter said the world's second-largest automaker was withholding emails between its executives and other communications regarding the emissions scandal.
Volkswagen is citing German privacy law in refusing to turn over emails and other communications between its executives, the source said. The emails were sought by a group of 48 U.S. state attorneys general investigating excess emissions in 580,000 U.S. diesel cars.
The automaker declined to say if it is withholding documents.
"We are in permanent exchange with U.S. authorities and are cooperating closely with them. We are not commenting on ongoing investigations," a spokesman at Wolfsburg-based VW said.
Jepsen said state AGs will work "to hold Volkswagen accountable for its behavior to the extent possible under the law, and we will seek to use any means available to us to conduct a thorough investigation of Volkswagen's conduct."
The U.S. Justice Department and German prosecutors are also investigating VW's conduct.
On Monday, the Justice Department filed a civil suit against VW seeking up to $46 billion for violating the Clean Air Act in allowing excess emissions in 580,000 diesel vehicles. A criminal investigation is still ongoing.
The Justice Department's suit said the government's "efforts to learn the truth about the (excess) emissions ... were impeded and obstructed by material omissions and misleading information provided by VW entities."
VW has blamed the deception on a small group of employees. The company has hired advisory firm Deloitte and U.S. law firm Jones Day to investigate under what circumstances the company installed software into diesel cars that changed engine settings to reduce emissions whenever vehicles were put through tests.
It was not clear if VW's internal probe will examine the documents being withheld from the state AGs.
VW CEO Matthias Mueller will meet with Environmental Protection Agency Administrator Gina McCarthy on Wednesday in the highest-level talks since VW's emissions scandal became public in September.
"We haven't identified a satisfactory way forward, but those discussions are going to continue," McCarthy said Thursday.
VW has said up to 11 million vehicles worldwide are impacted.
The decision to withhold emails and other documents was reported earlier by The New York Times.