Wickremesinghe's comments came amid a controversy over Foreign Minister Ravi Karunanayake who has faced calls for resignation following his testimony at a probe on the issuance of Central Bank of Sri Lanka's bonds during 2015 and 2016.
Karunanayake is unlikely to resign.
Wickremesinghe said all allegations of corruption under his government would be investigated and action will be taken depending on the outcomes.
"There is no place for robbers in our government. We will remove them," Wickremesinghe said in the hill town of Hatton.
He said a senior minister's quizzing for wrongdoing by the Attorney General reflected the freedom his government has brought in.
"We have filed cases against the Rajapaksa government's corruption. Cases are ongoing. When the Central Bank Bond issue allegations were made against my government, I appointed an internal probe and later it was referred to a parliamentary committee headed by an opposition member," Wickremesinghe said.
The current unity government formed in 2015 with the ouster of the former Mahinda Rajapaksa regime by Wickremesinghe and President Maithripala Sirisena has faced its biggest scandal in the form of the Central Bank Bond issue.
Mahendran, Wickremesinghe's close friend, was later removed from the job by Sirisena.
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