The report said Trump is accusing the New York Attorney General of violating his constitutional rights and is asking a judge to agree to his motion and to halt the probe.
James has been digging into Trump's real estate business for more than two years in an attempt to find evidence of wrongdoing. However, James can only file a lawsuit against Trump should any wrongdoing be found because it is a civil inquiry.
James has said she plans to seek to get testimony from Trump under oath early next month, according to the report.
James launched an investigation against Trump's business in March 2019 and is primarily looking into whether he defrauded lenders by inflating the value of his assets. Trump has said the alleged probe is a continuation of the political witch hunt against him.