The report sent US 10-year Treasury yields to 10-month highs and dented the dollar on Wednesday, which slid almost 1.1 percent on trading platform EBS, its biggest one-day percentage fall versus the yen since last May.
Investors worry that if China purchases fewer Treasuries, the USA government will have to find alternative buyers.
The report fueled concern that China might use its $1.2 trillion Treasury stockpile - the largest of any foreign country - as leverage should U.S. President Donald Trump act on his administration's increasingly confrontational trade rhetoric. It said investments in Treasuries are decided by market conditions.
A possible slow-down or halt to China purchasing US Treasury yields could have significant repercussions.
"Gold traders confirm that it was because the Government announced in advance that it was planning to sell such a large quantity of gold that the markets became depressed", The Telegraph reported then-shadow secretary to the Treasury Philip Hammond as saying in 2009. However, we believe USA inflation pressures are picking up.
But others said short sellers were squeezed out by the sudden downshift in yields prompted them to buy back, or "covering", the securities they had borrowed, juicing the late day rally. "I don't think we're headed for investment Armageddon".
A report from Bloomberg suggesting that China may be looking to slow or halt purchases of U.S. government bonds rippled across the markets. Trump is facing decision time as deadlines approach over whether to slap tariffs on imports from steel and aluminum to solar panels, which would be clearly aimed at China.
Wen's comments in March 2009 came weeks after Secretary of State Hillary Clinton had urged China to keep buying Treasuries while on a visit to Beijing.
The share market is weaker due to speculation China could be reconsidering 30 years of uninterrupted US Treasuries purchases, while the Australian dollar has been boosted by better than expected retail spending.
The greenback extended losses after data showed USA producer prices fell for the first time in almost 1-1/2 years in December amid declining costs for services. The session high for the global benchmark was US$69.37, highest since May 2015. The yuan gained around 6.8 percent versus the dollar a year ago.
Not only would such a step hurt China by decreasing the value of its bond holdings, it would wreak havoc in a global economy that the country is now fully integrated into through deep trade and financial links. Gross revealed on Wednesday that his main fund had made a bearish bet on the bond market.
In order for bond yields to move higher, bond prices would have to fall as the "coupon" interest payment is fixed at the point when new bonds are issued and can not be changed to compensate for higher (better) base rates.