Its owner, California-based FriendFinder Networks, said it was aware of the issue's "seriousness".
In a separate incident, mSpy admitted it has been hacked and had thousands of customer records leaked online.
And this year it was revealed the hotel chain Mandarin Oriental and telecoms firm TalkTalk lost customer data.
The UK's Channel 4 News reported on Thursday that the data on as many as 3.9 million of Adult Friend Finder's 64 million members had been leaked, including personal details such as email addresses and sexual preferences.
"FriendFinder Networks Inc. has only just been made aware of this potential issue and understands and fully appreciates the seriousness of the issue," the firm said in an emailed statement.
It added: "We have already begun working closely with law enforcement and have launched a comprehensive investigation with the help of leading third-party forensics expert, Mandiant.
"Until the investigation is completed, it will be difficult to determine with certainty the full scope of the incident, but we will continue to work vigilantly to address this potential issue and will provide updates as we learn more from our investigation.
"We cannot speculate further about this issue, but rest assured, we pledge to take the appropriate steps needed to protect our customers if they are affected."
Mandiant declined to comment further.
Adult Friend Finder, a casual dating website, has called in police and investigators after a suspected leak of client information.