The Danish toy giant has contacted each of the six main advertising companies ahead of a multi-market review, according to AdWeek.
Dentsu Aegis' Carat has held the pan-European media business (including the UK) since 2004.
Meanwhile, Publicis Groupe's Starcom has handled the US business – Lego's largest market – since 2004.
The move comes five months after Bali Padda was promoted to become the first non-Dane to run The Lego Group as chief executive, in January. Padda, the former chief operations officer, replaced Jørgen Vig Knudstorp.
Lego was not immediately available to comment.
UPDATE (3 June): A Lego spokesman said: "The Lego Group regularly reviews all contracts with suppliers as a standard business practice." The spokesman said Lego would not comment further.