Cairns had been due to provide television commentary on the test between New Zealand and West Indies at Dunedin on Thursday but left the ground unexpectedly during the day.
The New Zealand Herald revealed on Thursday that three New Zealanders were under investigation in what it described as "the biggest sports scandal in New Zealand's history."
The newspaper later named on its online edition the three players it alleges are at the center of the ICC probe.
It said officials from the ICC anti-corruption and security unit had been in New Zealand over the past four months conducting an investigation.
New Zealand Cricket later confirmed that three New Zealanders were under investigation, saying it knew their names but couldn't identify the players during the judicial process. Chief executive David White said none of the matches under investigation involved the New Zealand team or took place in New Zealand.
New Zealand Cricket Players' Association head Heath Mills called on the players involved to identify themselves, to prevent suspicion falling on all former New Zealand players. Mills said Thursday was a "sad day for New Zealand cricket."
"We're not happy that other past players are coming under suspicion," he said. "We are working with New Zealand Cricket to see what we can do about that.
"We are also conscious of the fact NZC and the ICC are bound by rules and regulations around confidentiality. In effect the onus falls on those who are the subject of the investigation."
New Zealand Prime Minister John Key described the allegations as "very, very serious" and hoped New Zealand's sporting reputation would not be harmed.
"New Zealanders expect sport to be played fairly and they expect sportsmen and women to perform in a way that upholds the ethics of their sport, not to make money in an underhand way," Key said.
"It would be a very, very serious issue indeed if it proved to be correct."
Key's government has just established an organization charged with combating fixing, drug use and the involvement of organized crime in New Zealand sport.
The ICC issued a statement confirming its anti-corruption unit was conducting a probe.
"The ICC confirms that it has indeed been working closely over the past few months with its colleagues in the domestic anti-corruption units of member boards to investigate these and related matters," it said, citing the media report.
