The financial consultancy said it is working with the U.S. Secret Service. Officials from the law enforcement agency did not have an immediate comment late Wednesday.

"At this time there is no evidence that our systems have been compromised or that there was any unauthorized access to the data in question," according to an email statement from Maggie O'Donovan-Bolton, PWC's tax public relations director, in New York.

An unnamed group offered the documents on Sunday , writing that it obtained access to network file servers at PWC's offices in Franklin, Tennessee. The group is threatening to release the key to the documents, which are encrypted, if it does not receive US$1 million by Sept. 28.

Romney had refused calls to release his tax returns before 2010, facing criticism that he uses complicated yet legal maneuvers to pay a much lower tax rate than most U.S. citizens.

The group contends it gained access on Aug. 25 to PWC's facility through someone working on the third floor. Romney's tax returns prior to 2010, stored on the second floor in suite 260, were copied during the night, the group said. The encrypted documents were delivered on flash drives to Democrat and Republican offices in Williamson County, PWC and will be sent to major news organizations.