Dixon, Coles and Gill, which had offices in Wakefield and Horbury, shut suddenly at the end of last month amid claims about financial irregularities.
A West Yorkshire Police spokesman said the investigation was at an early stage.
He added: “A 66-year-old woman has been arrested in connection with the investigation and has been released on police bail. Enquiries are ongoing.”
The practice, which specialised in family law, closed on January 29, with its solicitors transferring to other firms in the district.
A voice message on the company’s phone states: “The legal practice of Dixon Coles and Gill closed its doors for the last time on Friday 29 January after providing legal services to the people of Wakefield and beyond for more than 200 years.
“However the members of the firm remain available and keen to welcome their existing clients to their new practices.”
A spokesman for the Solicitors Regulation Authority, which monitors standards and performance in the industry, said the firm closed without intervention from the regulatory body.
He said: “We only step in if we think client interests are put at risk. We are in contact with the firm about its situation.”
A former client, who did not want to be named, said he believed the firm had around 7,000 customers.
He said: “The staff seem quite open about what has happened – that the company has lost a lot of money and they had to close as a result.
“I’m having to fork out for a new will and various other things.”
Dixon, Coles and Gill said enquiries about should be directed to partner Julian Gill, who is now at Jordans Solicitors in Wakefield, or Julia Wilding who is now at Chadwick Lawrence in Horbury.
In a statement a Dixon, Coles and Gill spokesman thanked the firm’s former clients “for their loyalty and friendship over so many years”.