Guzman, 58, was arrested on Friday in a deadly military raid in the seaside city of Los Mochis, in his northwestern home state of Sinaloa.
Attorney General Arely Gomez said on Friday that Guzman had met with unnamed actors and producers to discuss making a biopic about himself and that it was part of a "new line of investigation."
Some legal experts, however, doubt that Penn could face charges in the United States or Mexico.
"I seriously doubt that charges will be brought against them even though Sean Penn took extraordinary steps to prevent authorities from using his phone to track the whereabouts of Chapo," said Mike Vigil, a former senior official at the US Drug Enforcement Administration.
Floyd Abrams, a New York attorney known for his defense of journalists, said Penn did not violate any US laws.
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