The rand slid against the dollar on Wednesday morning on fears that Gordhan will be arrested..
Gauteng police spokeswoman Lieutenant-Colonel Katlego Mogale has said she does not know where people got "these stories".
"These allegations will be investigated," she said.
These "allegations" are apparently what appeared in a Sunday newspaper which states that police are investigating different scenarios about what could have taken place on the morning of February 14.
Reeva Steenkamp was shot and killed in boyfriend Pistorius's Pretoria house and suffered wounds to her head and upper body, Mogale confirmed on the morning of the shooting.
Pistorius was arrested and charged with her murder and made his first appearance in the Pretoria Magistrate's Court on Friday.
Since the morning of the shooting allegations have spread fast both locally and internationally.
The most recent is that a bloodied cricket bat was at the centre of the police investigations.
The newspaper quotes three sources close to the investigation that the bat was found in the house, although it has not yet been established whose blood is on it.
Police are said to be investigating a theory that Pistorius used the bat to assault Steenkamp.
Another possible theory that has been reported was that Pistorius may have shot Steenkamp in the bedroom and then followed her to the bathroom where she went to hide and shot her three more times through the door.
Pistorius will appear in court again tomorrow, on the day of Reeva Steenkamp's private funeral in Port Elizabeth.