Shares in the gaming company and internet powerhouse fell 1.4% in early trade in Hong Kong on Thursday, while the broader market slipped 0.3%.
Tencent did not immediately respond to a request for comment.
Zhang Feng has been under investigation by China's anti-graft inspector since early last year for alleged unauthorized sharing of personal data collected by Tencent's social-media app WeChat, the Journal said. (on.wsj.com/2NdMuv9)
Zhang was suspected of turning over WeChat data to former Vice Public Security Minister Sun Lijun, who is being investigating by Beijing for undisclosed violations of Communist Party rules, the report added. Reporting by Rama Venkat in Bengaluru; Editing by Shounak Dasgupta & Simon Cameron-Moore