Foreign Secretary Robin Cook, who is also in Stockholm, has come to his minister's defence, saying: "Mr Vaz will give a robust response, as he already has".
Mr Vaz, who is in Stockholm for the European summit, confirmed that he met Elizabeth Filkin, the parliamentary commissioner for standards, on Tuesday to discuss the latest complaint lodged by the Conservatives.
The opposition alleges that a company linked to Mr Vaz received money from a charitable organisation run by the Hinduja brothers.
'Already dealt with'
Mr Vaz said he would "fully co-operate" with Ms Filkin's new inquiry, but suggested the complaint had already been fully dealt with.
"We will work as we have done with the parliamentary commissioner."
Foreign Secretary Robin Cook, who is also in Stockholm, has come to his minister's defence, saying: "Mr Vaz will give a robust response, as he already has".
He added that Mr Vaz was doing "a very good job" as Europe minister.
Reduces ability
Shadow foreign secretary Francis Maude told the BBC on Thursday that Mr Vaz would not be able to negotiate properly at the Euro-summit with the investigation hanging over him.
"This dogs him wherever he goes. It reduces his ability to act effectively for Britain," said Mr Maude.
"It's important that he carries full credibility and full authority."
Last week the Commons standards and privileges committee criticised Mr Vaz for not co-operating fully with the inquiry by Ms Filkin into 18 complaints about his business and financial affairs.
Hard evidence
Only one complaint was upheld, but nine others could not be investigated fully by the commissioner because of difficulties gathering evidence and Mr Vaz's refusal to answer all her questions.
Mr Vaz said he was "surprised" about the latest complaint by the Tories, which centres on payments to Mapesbury Communications, a company run by his wife and which he says he has nothing to do with.
He said it was on the record that he had checked with the Commons registrar of members' interests and the Sir Gordon Downey, Ms Filkin's predecessor, whether he should register his connection with the company.
"They confirmed that this was not necessary. I have never received any benefits or payments from Mapesbury," Mr Vaz said.
On Wednesday, Mr Blair insisted that Mr Vaz had his support: "I am not going to dismiss a minister when the allegations that the opposition make against him are investigated and found to be wrong."
No formal link
The Sunday Times alleged last weekend that a charity funded by the Hinduja brothers had paid nearly £1,200 to Mapesbury, which was set up by Mr Vaz.
The money helped to pay for an Indian spiritual leader's visit to the Commons.
But Mr Vaz said that although Mapesbury had undertaken some public relations work for a 1995 lecture by Swani Vaswami, it was only reimbursed for costs incurred.
"These costs were met by the Hinduja Foundation. There was no benefit to Mapesbury, to any member of my family, or to me personally," Mr Vaz said.
Mapesbury was initially set up to handle income from Mr Vaz's extra-parliamentary activities, but its purpose has since changed and he now has no formal link with the company.
Shadow cabinet office minister Andrew Lansley referred the matter to the standards commissioner because Mr Vaz had previously told her he had never received any financial support from the Hinduja brothers.
They Hindujas are currently in India facing charges linked to a corruption scandal.