The sources, who spoke on condition of anonymity, added that people close to organised criminal gangs in Marseille were also being held.
Anigo, who now lives in Morocco, was arrested when he got off a plane late in the afternoon, a judicial source said.
OM president Vincent Labrune, as well as former presidents Pape Diouf and Jean-Claude Dasier, were questioned last November.
Investigators are looking into Gignac's move to Marseille from Toulouse in 2010.
Marseille are second in the Ligue 1 standings one point behind Olympique Lyonnais.
(Reporting by Jean-Francois Rosnoblet, writing by Julien Pretot; Editing by Amlan Chakraborty and Toby Davis)
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