Beattie McGuinness Bungay holds the business and created the "Cobra train" spot that was launched in February last year.
ISBA is thought to be advising on the review, which is in its early stages. Cobra has approached various agencies, including some on the Molson Coors roster.
Molson Coors spent £2.4 million on UK media for Cobra in the year to September 2012, according to Nielsen.
Media, handled by ZenithOptimedia, is unaffected.
BMB was appointed in 2009 after Molson Coors bought a majority stake in Cobra from the founder Karan Bilimoria. BMB also works on the Molson Coors beer brands Corona and Grolsch.
"Cobra train" showed travellers on a train in India enjoying the bottled beer, ending with the line: "Splendidly Indian, superbly smooth."
A Molson Coors spokesman declined to comment.