In a quarterly regulatory filing, Icahn's investment firm did not disclose any position in the embattled natural gas company.

On Sunday, the Wall Street Journal reported that Chesapeake is expecting Icahn, who held Chesapeake equity positions in 2011, to disclose soon that he has taken a significant stake in the company. Icahn has not responded to the WSJ report.

Chesapeake shares rallied on Monday, but closed 5.6 percent down at $14.65 on Tuesday.

The regulatory filings on Tuesday, so-called 13-Fs, list investment managers' stock holdings for the quarter ended March 31.

The filing by Icahn Enterprises LP showed the money manager exited energy company El Paso Corp during the first quarter, where he held 72.2 million shares at the end of 2011.

Icahn, who sold his Chesapeake stock for above $30 a share last year, told CNBC on April 30: "I do think Chesapeake is undervalued."

He cautioned that, while the stock might be cheap, the company has problems. He said in his television appearance that he did not know if he would invest in the company again.

(Additional reporting by Svea Herbst and Sam Forgione; editing by Andre Grenon)

By Katya Wachtel

Stocks treated in this article : Chesapeake Energy Corporation, El Paso Corp