Edward Grace, deputy chief of law enforcement for Fish & Wildlife, issued a statement asking the disgraced dentist to reach out to officials.
"That investigation will take us wherever the facts lead," Grace said. "At this point in time, however, multiple efforts to contact Dr. Walter Palmer have been unsuccessful. We ask that Dr. Palmer or his representative contact us immediately."
The agency is specifically looking to see whether he violated the Lacey Act, a conservation law that governs the import and ownership of illegally killed, transported or sold plants and wildlife.
The 13-year-old lion was lured out of his protected home in Zimbabwe's Hwange National Park and shot, then was tracked for 40 agonizing hours before being killed, skinned and beheaded. The hunters also tried to destroy his tracking collar.
Cecil's remains are currently in the possession of Zimbabwe authorities.
While Palmer has not been charged with a crime in the U.S. or Zimbabwe, his hunting guide, Theo Bronkhorst, and the owner of the property where Cecil was first shot, Honest Trymore Ndlovu, appeared in court in Zimbabwe on Wednesday. They are each facing up to 10 years in jail or a $20,000 fine.