It said Blatter was interrogated after a meeting of FIFA's executive committee in Zurich, and authorities carried out a search at FIFA headquarters on Friday.
"The office of the FIFA President has been searched and data seized," the office of the attorney general (OAG) said in a statement.
US and Swiss authorities announced in May they were investigating corruption at the highest levels of the world's most popular sport, including in the awarding of the 2018 and 2022 world cups to Russia and Qatar.
Fourteen football officials and sports marketing executives were indicted at that time, but until Friday authorities had not pointed the finger at Blatter, the 79-year-old Swiss who has run FIFA since 1998.
He has denied wrongdoing, Reuters reported.
Blatter was questioned by the OAG's representatives, and Michel Platini, the former French football star who runs European football body UEFA, was also asked to give information, the statement said.
Platini is favorite to win the election to replace Blatter when he steps down in February.
A Swiss law enforcement source said that Platini had provided Swiss prosecutors with evidence against Blatter and was not regarded as a target of investigators at this point. The source said that Swiss prosecutors were also in touch with several other witnesses at various levels of FIFA and its affiliates who have expressed interest in giving evidence about corruption in the organisation.
Swiss investigators have been putting together their case against Blatter for some time, a law enforcement official said.
The official said Blatter is not in custody and is free to travel, though he has largely avoided leaving Switzerland since May.
The OAG statement said that Blatter was suspected of a "disloyal payment" of 2 million Swiss francs (£1.35 million) to Platini at the expense of FIFA, allegedly made for work performed between January 1999 and June 2002.
The payment was executed in February 2011, the OAG said.
According to the Swiss criminal code, Blatter could, if convicted, face a custodial sentence of up to five years depending on the circumstances of the offence.
A spokeswoman for US prosecutors declined to comment on news of the Swiss investigation.