"I don't know if I was bugged and I don't want to speculate," Reinfeldt told reporters in Oslo where he met new Norwegian prime minister Erna Solberg.
Norway's new leader told state broadcaster NRK that she had asked Reinfeldt to provide details on any surveillance programmes targeting Norwegians.
"We discussed this yesterday, and I said that we want to have more information, Solberg said. "The concern is that much of our web traffic goes through Sweden. Therefore, I told Reinfeldt that we want to take this up further."
British investigative journalist Duncan Campbell recently claimed that Sweden collaborated with the USA on the internet monitoring FRA law. The law allows the Swedish National Defence Radio Establishment (FRA) to wiretap telephone and internet traffic which crosses Swedish borders and has been in place since 2009.
Erna Solberg added that she pressed the Norwegian ambassador to Washington to take up her country's "legitimate concerns" with the US government over spying allegations.
Reinfeldt, who was appearing with Solberg on an NRK programme, said that Norwegian citizens should not worry about Swedish surveillance.
"The goal is not to monitor certain countries, but to defend ourselves against terrorism and prevent war and conflict," he said.
The Swedish leader added, without mentioning the NSA by name, that "we have been very open about the fact that we work together with others. What type of information is gathered is firmly regulated".
Along with Norway, fellow Nordic neighbours Denmark are understood to also want to know more about the NSA's surveillance programs according to Danish prime minister Helle Thorning-Schmidt.
Last week it was alleged that the NSA eavesdropped on German chancellor Angela Merkel's mobile phone which sparked a diplomatic crisis between the two nations.