Icahn, in a telephone interview with Bloomberg Television's Trish Regan, called the Wall Street Journal's report "completely irresponsible" and said he was unaware of an investigation.
For Mickelson, who is preparing to play in next week's US Open in Pinehurst, North Carolina, the investigation brings into question his integrity, something that can be particularly damaging for golfers, Cornwell said.
San Diego native Mickelson has endorsement agreements with Callaway Golf, Barclays and KPMG, and has earned $43 million through sponsorships during his career, according to Forbes magazine.
Callaway, which first signed Mickelson a week before the 2004 Ryder Cup matches and renewed its agreement with the left-hander five years later, defended the 2013 British Open champion.
"We have had a long-standing partnership with Phil and value our relationship with him," Carlsbad, California-based Callaway said in a statement. "He has always acted with the utmost professionalism and integrity in our dealings with him."
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Because the issue involves investing and not golf, Callaway doesn't stand to suffer much damage, Casey Alexander, a New York-based analyst at Gilford Securities, said in a telephone interview.
"Callaway would stick behind him until they slammed the jail cell door shut," Alexander said. "There's such a degree of public goodwill towards Phil, people will say he's innocent until proven guilty."
KPMG said it has had a "very strong relationship with Phil for a number of years and we fully expect it to continue."
"We have great respect for him," the company said in a statement.
Barclays declined to comment.
"Despite what Barclays and KPMG may say, you've got to know that they are watching this thing closely," Cornwell said. "For the financial services companies, that's just a blemish they can't afford to have."
Billionaire investor Carl Icahn (left) and sports gambler Billy Walters (right) are involved in the investigation. Photo / AP
According to the Journal, investigators are looking into the possibility that Icahn may have notified Walters in advance about investments he was going to make in his fund, which tend to move stock prices. In at least one instance, Walters may have shared the information with Mickelson, the newspaper said.
According to the New York Times, the FBI and the SEC are reviewing large option trades ahead of Icahn's $10.2 billion offer in 2011 for Clorox, the bleach maker with products ranging from Hidden Valley salad dressing to Glad trash bags. They're also examining trading by Mickelson and Walters in Dean Foods in 2012.
Icahn's failed offer for Clorox drove up the value of the stock temporarily.
If Mickelson is linked to wrongdoing, Cornwell said it would be "devastating" to his image and career.
"Only Phil can tell the degree to which it's going to be a distraction in his play, but in his business, you just don't need these types of rumours swirling around your head," he said. "Phil has been the good guy of golf for so long."
Sponsors' reactions to Donald Sterling may indicate what could happen if Mickelson is found to have breached securities laws, Cornwell said. Almost all sponsors ended or suspended their relationships with the Los Angeles Clippers after recordings emerged of the owner making racist comments.
"The new sponsor standard is to run for the hills," he said. "They may trickle back in afterward, but the first act is one of separation."
- Bloomberg
