Judge Keyla Blanc ordered the athletes' passports be seized after they gave conflicting versions of Sunday's incident, the Globo newspaper reported on Wednesday, reports Xinhua.
It was unclear if the swimmers had already returned to the US.
Lochte and Feigen said they were with fellow swimmers Gunnar Bentz and Jack Conger when their taxi was stopped by thieves posing as police.
The athletes were returning to the Olympic Village after celebrating the end of the swimming competition at the Rio Games.
An unnamed legal spokesperson for Lochte told Globo the swimmers were shocked by Blanc's decision.
"It's surprising to know that they have taken these measures to continue the investigation," the spokesperson was quoted as saying. "He (Lochte) cooperated with authorities and explained his version of events."
Lochte, 32, has won six Olympic gold medals, including his victory in the 4x200 metre freestyle relay team in Rio.
