The letters are 19th century correspondence to Harry Wright, who built the country's first professional baseball team in Cincinnati and managed in several cities.
Sports memorabilia dealer Hunt Auctions had stopped bidding on the letters last week. On Monday, the Exton, Pa.-based auction house said it was removing the items from the auction because "many questions still remain unanswered." It said it was working closely with the FBI.
FBI spokesman Jim Margolin said Monday that investigators are trying to determine "whether those items were among the items apparently stolen from the public library collection."
The 20-plus lots were part of a larger auction scheduled for July 14 at the All-Star Game's Fan Fest in St. Louis.
New York Public Library spokeswoman Heidi Singer declined to comment, citing the investigation.
The library's collection originally contained four scrapbooks of letters that had been sent to Wright between 1865-94. Only one of those volumes, covering 1878-84, is still at the library. The material was found missing during an assessment of the collection in 1986-87, Singer said.
Hunt Auctions has declined to name the letters' seller, other than to say they had belonged to the person's grandparents.
Wright was born in England and played cricket, but he gravitated to baseball as a young man in New York. He organized the Cincinnati Red Stockings in 1869, managed the team and also played center field. He later managed the Boston Red Stockings, the Providence Grays and the Philadelphia Quakers.
Many modern elements of the game were his innovations, such as hand signals, defensive fielding shifts and hitting fungoes to outfielders before the game.