Mr. Sheriff is said to have voluntarily handed himself in Wednesday afternoon.
The spokesperson for the EFCC, Wilson Uwujaren, confirmed that Mr. Sheriff was currently being held by the commission.
The former governor, was who summoned by the commission to appear, damned the invitation and stayed away.
Although the specific allegations against the former governor are unclear at this time, sources said the investigation is related to allegations that parts of the N300billion his administration received from the Federation Account between 2003 and 2011 were not judiciously spent.
The investigation began in 2012 and had been ongoing ever since, a source said.
Mr. Sheriff governed Borno State on the platform of the defunct All Nigeria Peoples Party.
Before then, he was a senator between 1999 and 2003 on the ticket of the same party.