Italian daily newspaper Il Tempo report that Lazio fell for a scam email which featured Feyenoord's badge and was written convincingly.
Without doing the necessary checks, the Rome side reportedly found out that the Eredivisie club hadn't received the money, and that the IBAN number had been changed so the large sum could be directed into the scammers' account.
Il Tempo claim that a prosecutor has tracked down the money to a different Dutch bank account.
De Vrij, who joined the Serie A side in 2014 but is set to leave them on a free transfer this summer, is a reported transfer target for Manchester United.
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