Shell has two production platforms in the area, called Mars and Ursa.
"We are treating this very seriously, as we do all reports of possible pollution. And, in consultation with our state and local partners, we will ensure that all measures are taken to fully investigate and, if necessary, mitigate any impact this could potentially have," Coast Guard Capt. Jonathan Burton said in a news release.
Shell operates six major offshore facilities, 13 crewed platforms and numerous subsea systems in the Gulf.
The sheen was reported in an area about 50 miles from the site of BP's Macondo well, which blew out in April 2010 and created the nation's worst offshore oil disaster. The now-plugged Macondo well is in about 5,000 feet of water.
Sheens spread quickly as oil breaks down and a small amount can cover a large area. Earlier this week, a tanker in the Mississippi River south of New Orleans spilled an estimated 50 gallons of oil. The sheen from the discharge extended almost 30 miles downriver.