The social network is under fire after reports on how Cambridge Analytica, which some believe helped Donald Trump win the US election, acquired and used Facebook's customer information.
Theresa May's spokesman called the allegations "very concerning".
The UK data protection body is seeking a warrant to search the firm's offices.
Information Commissioner Elizabeth Denham says it will be used to look at the databases and servers used by British data analytics firm Cambridge Analytica.
Facebook shares ended trading 6.7% lower at $172.56, wiping almost $37bn off the social network's market value.
The company is accused of failing to properly inform users that their profile information may have been obtained and kept by Cambridge Analytica, a political consulting firm.
"The lid is being opened on the black box of Facebook's data practices, and the picture is not pretty," said Frank Pasquale, a University of Maryland law professor.
On Friday, Facebook suspended the consulting firm, saying it had acquired data from a researcher who violated the firm's policies.
Cambridge Analytica "strongly denies" the allegations levelled against it.
Asked about the reports, the prime minister's spokesman said: "The allegations are clearly very concerning.
"It is essential that people can have confidence that their personal data will be protected and used in an appropriate way."
US senators Amy Klobuchar, a Democrat, and John Kennedy, a Republican, have also called for a hearing about data security and said they want to question Facebook chief executive Mark Zuckerberg, and the heads of other tech companies.
"While Facebook has pledged to enforce its policies to protect people's information, questions remain as to whether those policies are sufficient and whether Congress should take action to protect people's private information," they wrote in the letter.
"The lack of oversight on how data is stored and how political advertisements are sold raises concerns about the integrity of American elections as well as privacy rights."
Alexander Nix, chief executive of Cambridge Analytica, was questioned by a Parliamentary committee last month about using data to target messages. THINK YOUR FRIEND WOULD BE INTRESTED? SHARE THIS STORY USING ANY OF THE SHARE BUTTON BELOW ⬇ PLACE YOUR TEXT ADVERT BELOW:>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> ( FREE ) secret Fruits that Increased My Manhood size and Lasting Power in 7-days... CLICK HERE TO GET IT Warning To Men: This 3 Foods Is Killing Your Erection. Click Here To Know Them