The Advertising Standards Authority (ASA) has launched a formal inquiry into the tweets, part of the @SnickersUK#hungry#spon promotional campaign run by Mars.
The watchdog intends to asses whether the messages from various celebrities were clearly marked as marketing communications.
Launched earlier in the week, the promotion involved spoof messages being posted on the pages of famous faces.
On glamour model Price's Twitter page, which has 1.5m followers, a tweet read: "Great news about China's latest GDP figures!!"
Another message said: "OMG!! Eurozone debt problems can only be properly solved by true fiscal union!!! #comeonguys."
Ferdinand, who has 1.5m followers, wrote on January 24: "Can't wait 2 get home from training and finish that cardigan."
This was followed by: "Cardy finished. Now 4 the matching mittens!!!"
The celebrities then tweeted pictures of themselves holding a Snickers chocolate bar, alongside the message: "You're not you when you're hungry."
However, the bizarre messages left some people wondering whether the Twitter pages had been hacked. The ASA acted after receiving two complaints, and said that it will publish the findings of its investigation shortly.
The body said in a statement: "The ASA has launched a formal investigation into tweets by Katie Price and Rio Ferdinand to establish whether Mars' @SnickersUK#hungry#spon campaign is in breach of the Advertising Codes.
"We are investigating two points: (a) whether it should have been stated in the 'teaser' tweets that they were marketing communications and (b) whether the hashtag "#spon" in the final 'reveal' tweet made it clear enough that that tweet was a marketing communication."
Cricketer Sir Ian Botham, boxer Amir Khan and singer Cher Lloyd were also involved in the Snickers campaign.
'Swagger Jagger' singer Lloyd, who has more than 910,000 followers, revealed herself to be a fan of classic Russian poetry, tweeting: "Pushkin Rocks!! These Russians are *so* gloomy!! LOL!!!"
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