New Zealand Rugby (NZR) said earlier on Saturday the team had discovered the device inside a cushion of a chair that was in the room used by them to hold meetings to discuss tactics.
"At this point in time our forensic people are looking at that device," New South Wales Police Superintendent Brad Hodder told reporters on Saturday. "All I can say is it's an electronic device."
NZR had asked the police to conduct investigation after a sweep by the team's security team on Monday found the device.
NSW police said they were only told of the device on Saturday.
The New Zealand Herald newspaper said the device had been described as "sophisticated" and significant effort had been made to conceal it within the chair's cushion.
NZR Chief Executive Steve Tew told the newspaper it was likely that if the device was working properly, it would have picked up what was discussed in meetings.
He later told reporters that NZR had also informed the Australian Rugby Union (ARU) about the discovery and they were just as shocked as their trans-Tasman counterparts.
"I've just informed (ARU boss) Bill (Pulver) and he's obviously very shocked, as I was, to find out that this could be happening in our environment," Tew told reporters in Sydney.
"We haven't made any accusations of anybody so there's no room for denials. We'd like now to focus on the game."
All Blacks coach Steve Hansen, a former police officer, said in the aftermath of his side's 42-8 victory over Australia that he was "shocked" by the discovery.
"We just passed it over to the powers that be and just got on with our work," said Hansen.
Hansen said New Zealand discovered the device following a regular and routine security sweep of the hotel where the team was staying.
Australia coach Michael Cheika said the discovery of the device did impact his team's preparations.
"It has nothing to do with us," Cheika told reporters.
Hansen has said in the past he thought the team were subject to attempts by opponents to discover their game plans ahead of tests.
In 2013, a journalist for a British newspaper took photographs of the team meeting room in their London hotel.
During last year's World Cup in England, the team trained behind large screened fences and in New Zealand, media access to training sessions are heavily controlled.
ARU boss Pulver had earlier told the Herald his organisation had nothing to do with the device.
"It is completely ludicrous," he told the newspaper when asked if the ARU was involved. "I just think it's a ludicrous concept that there are listening devices being placed in team rooms.
"I don't know how that could happen."
The discovery of the device has ramped up the intensity of the match, which doubles as the first game of the Bledisloe Cup series between the trans-Tasman rivals, with media in New Zealand focussing on the story on Saturday, despite the ongoing Olympics in Rio de Janeiro.
"I'm utterly disappointed the story would break on match day and frankly, that's all I've got to say," Pulver added.
"We are going to focus on a game of rugby that we've got tonight and we will deal with this matter after the rugby.
"I simply don't know the background but I'm clearly disappointed it gets out to the media on the day of a Bledisloe Cup match."
(Additional reporting by Iain Boyd and Colin Packham in Sydney; Writing by Greg Stutchbury in Wellington; Editing by Ed Osmond, Sudipto Ganguly and Nina Chestney)
