Pol Capt Suwanee Sawaengpol, the Amlo deputy secretary-general, said she was not aware of the incident, which Democrat MP Ong-art Klampaiboon brought to light on Saturday.
Mr Ong-art urged Prime Minister Yingluck Shinawatra to take action on the issue to show she was serious about corruption.
The National Anti-Corruption Network (NACN), an alliance of prominent business leaders, believed the money in question had been skimmed from government flood-prevention project budgets.
The NACN said the Amlo and the Public Sector Anti-Corruption Commission had requested information from the Independent Commission against Corruption (ICAC) of Hong Kong, according to Mr Ong-art.
The Amlo never made any such request to Hong Kong, Pol Capt Suwanee said.
The ICAC's website did not mention the case.
Premier Yingluck did not comment on the issue.
Mr Ong-art raised the issue of the missing money hours before a rally the Democrat Party staged in Bangkok's Lumpini Park to provide facts about the military crackdown on red-shirt protests in April and May 2010 when it was the government.
The rally drew almost 2,000 supporters.
The recent report by the Truth for Reconciliation Commission (TRC) lent weight to the role played by the men in black in the anti-government protests. It also said the government of the day had to bear responsibility for some of the events.
Democrat deputy leader Apirak Apirak Kosayodhin said that the TRC clearly said in its report that the men in black used war weapons to attack security forces on April 10, 2010.
But now efforts have been made to distort the facts and deflect the blame to the previous Abhisit Vejjajiva government, which actually handled the protests under the emergency rule.
Sathit Pitutecha, a Democrat MP for Rayong, said the men in black were paid to commit crimes and acts of violence including killing members of security forces and innocent people as well as red shirt protesters themselves during the 2010 unrest.
The men in black were paid to specifically destroy the Abhisit government, Mr Sathit said, adding that they actually originated from the red shirt movement.
Mr Sathit said all sides had agreed that the men in black really existed and committed evil deeds.
Army chief Gen Prayuth Chan-ocha said on Friday that the army had information about the black-clad men who attacked security forces on April 10, 2010.
However, he said the information should be verified as the judicial process takes it course instead of being used to trade accusations.