Police went to the village market in the suburb of Gombak on the outskirts of Kuala Lumpur where the auction reportedly took place, but said they had found no witnesses.
"We have gone to Gombak this morning, to the market where the Vietnamese lady was auctioned. We have not traced any witnesses or seen any evidence of this auction. No such person has come forward," criminal investigations chief Hadi Ho Abdullah told AFP.
"There were rumours going around there was a lady for auction, but we haven't got any witnesses that say they saw it," he added.
According to Malaysia's Chinese-language Guang Ming daily, the 21-year-old Vietnamese woman came to the morning village market last week with a 40-year-old peddler.
It said the woman had apparently volunteered to be sold because she had run out of money. A 60-year old man bought her for 18,000 ringgit (5,000 dollars), the report said.
Viet Nam's embassy in Kuala Lumpur protested over the reported auction in a letter to Malaysia's foreign ministry.
The chairwoman of the Vietnamese women's union, Ha Thi Khiet, has also written an open letter to her Malaysian counterpart to describe the case as "offensive towards women's honor and dignity."
Mainly Muslim Malaysia is socially conservative, and Hadi Ho said he thought Malaysians would have alerted police if they had seen an auction. "I frankly don't think Malaysians would tolerate this kind of thing," he said.