It wasn't clear whether the president's comment confirming he was under investigation was based on direct knowledge or media reports this week that Mueller is examining whether the president obstructed justice by firing Comey last month.
In an attempt to sound upbeat and to downplay the new developments in a controversy that has now reached the Oval Office, Trump also said that "despite the phony witch Hunt going on in America, the economic & jobs numbers are great".
The US president is reportedly probed over obstruction of justice.
Reports that Trump allegedly asked two intelligence chiefs to publicly deny any cooperation between his campaign and Russian Federation are also said to be part of the investigation.
During congressional testimony last week, Comey stated under oath the President was not under investigation by the FBI prior to or after his firing.
Trump took to Twitter Thursday morning to slam the report.
Earlier this week, the investigation led by special counsel Robert Mueller appeared to move closer to Trump. The White House has denied any collusion, and Trump has repeatedly complained about the probe, saying Democrats can not accept his election win.More news: Russian Federation obey Putin's orders with opening-day win
Trump also criticized the change in focus of the investigation on Thursday, saying that it was run by "some very bad and conflicted people!"
President Trump has repeatedly denied any collusion with Russian Federation, describing the ongoing inquiry as a "witch hunt".
The special counsel overseeing the investigation into Russian election meddling and any ties between Russia and the Trump campaign is reviewing whether President Trump tried to obstruct justice, according to a report published Wednesday night in The Washington Post that cited unnamed officials.
Ledgett wrote an internal memo about Trump's phone call to Rogers, officials told the Post. They include Dan Coats, the director of national intelligence, Mike Rogers, director of the National Security Agency, and his former deputy director, Richard Ledget, the Post reported.
Mr Putin echoed Mr Trump's criticism of Mr Comey, saying it was "very strange" a former Federal Bureau of Investigation chief leaked details of his conversations with the United States president to the media through a friend. Each time Comey says he told the president "no".