The review is being run separately to the advertising pitch, which kicked off last week, but is also being handled by Creativebrief.
Target Media, the incumbent, picked up the estimated £2.3 million account from Carat in 2006.
Play.com has ramped up its digital activity over recent years and is expected to focus the bulk of its media spend on the medium.
Last year, Play.com launched a loyalty programme that rewarded customers who promoted the brand on social media such as Facebook and Twitter.
Later this month, Play.com’s retail business will close following changes to tax rules.