The Japanese game company said that a server of one of its affiliates in the US was attacked by the group some weeks ago.
Lulz Security is the same group that attacked the websites of Sony over the past few weeks.
However, the maker of the Wii said that no consumer data or company information was lost.
"There were no third-party victims," company spokesman Ken Toyoda said.
"But it is a fact, there was some kind of possible hacking attack," he added.