Mr Rosenstein has said privately he may need to recuse himself from matters relating to the Russian Federation probe because he could become a witness in the investigation, ABC News reported on Friday.
Even though Mueller is technically leading the investigation, the DOJ controls the funding for the investigation and can fire Mueller if the department decides it's warranted.
He also claimed that the person investigating him advised him to fire Comey, though it's unclear whom he was referring to.
In a tweet, the president also seemed to accuse the USA deputy attorney general of pursuing a "Witch Hunt".
However, it is likely that he was tweeting about Deputy Attorney General Rod Rosenstein, or Mueller who is examining whether the president obstructed justice by firing ex-FBI Director James Comey last month amid the ongoing Russian Federation investigation.
On Twitter Friday, the president appeared to confirm he is under investigation for his firing of former FBI Director James Comey.
Recent news reports have suggested Mr Trump sought all three officials' help in pressuring Mr Comey to drop his investigation into former national security adviser Mike Flynn. Some of his ire is aimed at Rosenstein and investigative special counsel Robert Mueller, both of whom the president believes are biased against him, associates say.
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Rosenstein also appointed Robert Mueller to investigate ties between Trump's campaign and Russian Federation.
Some Republicans have called for Mueller's firing, citing alleged conflicts of interest.
But Trump has publicly said he was going to fire Comey regardless of Rosenstein's recommendation.
The president did not directly address allegations that he is being probed for possibly obstructing justice - a potentially impeachable offense.
The president made a tweet about his defeated Democratic opponent complaining that the probe is unfair. "Sad!", Trump tweeted Friday morning.
A White House spokeswoman declined to comment and referred questions to Trump's personal attorney Marc Kasowitz.