The minnows qualified for the 2017 finals with a 3-2 win over Zambia.
But Zambian Football Association CEO Ponga Liwewe told BBC Sport there was an "issue related to the game".
He added: "If the Confederation of African Football rules in our favour, it will have far-reaching implications. That is what we are waiting for."
Guinea-Bissau top their group with an unassailable 10 points - four ahead of both Congo and Zambia - with just one round of matches left.
There have been reports the Zambian FA's protest centres on the eligibility of Guinea-Bissau goalkeeper Pape Massa Mbaye Fall, who was born in Senegal.
However, Liwewe would not be drawn when asked about the nature of his organisation's protest.
"After the game in Guinea-Bissau, the FA sat down, consulted among themselves and sent some correspondence to Caf about several queries and issues we had," he said.
"It's premature to make pronouncements until we get some feedback from Caf."
The ultimate sanction, should Guinea-Bissau be found guilty of any wrongdoing, is disqualification.
Guinea-Bissau's shock qualification for their first Africa Cup of Nations has been cast into doubt after a complaint from a rival football association.