Russia's track and field athletes are currently the subject of a suspension which places their participation in the Rio Olympics in doubt.
The ban was imposed following a WADA-commissioned independent report into allegations of drug use in athletics.
And WADA is now looking into the latest claims, which Reedie described as "a real cause for concern".
"On the basis of recorded conversations between (whistleblower) Vitaly Stepanov and the former Moscow laboratory director, Dr Grigory Rodchenkov, the broadcast claims that numerous Russian athletes were doped at Sochi; including four gold medallists that were using steroids,” a WADA statement read.
"The broadcast also suggests that the Russian Federal Security Service (FSB) interfered with the Games anti-doping program; including, some FSB agents having been employed as doping control officers (DCOs).
"WADA has not yet been able to independently verify these allegations, but will now conduct further inquiries into the allegations without delay.
"This includes initiating the process to access the recorded conversations in which Dr Rocdhenkov aired his views, as cited in the programme."
Reedie added: "Mr Rodchenkov was of course interviewed by WADA's Independent Commission that exposed widespread doping in Russian athletics last year; yet, regrettably, he was not forthcoming with such information related to the Sochi Games.
"It is surprising to hear these views so many months after the commission concluded its work."
The World Anti-Doping Agency has opened an investigation into allegations of Russian doping at the 2014 Sochi Winter Olympics, it has announced.
WADA will look into claims, broadcast by CBS 60 Minutes in the United States on Sunday, that numerous Russian athletes used performance-enhancing drugs at the Winter Games.
WADA president Sir Craig Reedie said: "WADA will probe these new allegations immediately."
