"If it happens, it will happen, so I'm not worried at all," he told reporters in footage broadcast by eNCA television.
The Daily Maverick and News24 news websites reported that the warrant was issued for Magashule over a contract awarded while we was premier of the Free State province.
Magashule is one of the top six officials of the governing ANC, in charge of the day-to-day running of the party.
An ANC spokesman did not answer his phone when called by Reuters for comment.
A police spokesman in the Free State province referred questions to the country's elite Hawks police unit. A Hawks spokesperson said: "I don't know about any arrest warrant." (Reporting by Alexander Winning and Emma Rumney; Editing by Olivia Kumwenda-Mtambo and Jon Boyle)

African National Congress (ANC) Secretary General Ace Magashule during a media briefing about his meeting with former president Jacob Zuma on September 11, 2018 in Johannesburg, South Africa. Responding to allegations that he met Zuma to discuss a plot to oust President Cyril Ramaphosa, Magashule said he met the former president over organisational issues. (Photo by Gallo Images / Sunday Times / Alon Skuy)