A local court told AFP that a complaint was filed against Mr McGregor on September 10.
The accusation was then "the subject of a hearing by the police", AFP reported.
A representative of the sports star told TMZ that Mr McGregor denies the allegation.
"Conor McGregor vigorously denies any accusations of misconduct", he said.
"He has been interviewed and released."
A statement from the Corsican prosecutor's office said: "Following a complaint filed on September 10 denouncing acts that could be described as attempted sexual assault and sexual exhibition, Mr. Conor Anthony Mac Gregor was the subject of a hearing by the police."
The accusation comes months after Mr McGregor announced his third retirement in the space of four years in June.
He has made similar statements of intent in 2016 and 2019 before making swift u-turns on both occasions.
Mr McGregor joined the UFC in 2013, having established himself as a two-division Cage Warriors champion.
The Irishman then crossed over into boxing and though he lost to five-weight world champion Floyd Mayweather in August 2017, it was a bout that reportedly earned him in excess of 100million US dollars.