Victoria's anti-corruption watchdog has rejected Opposition Leader Matthew Guy's request to investigate him over his infamous lobster dinner with an alleged mafia boss.

The Independent Broad-based Anti-corruption Commission (IBAC) on Wednesday confirmed that it would not act on Mr Guy's self-referral of his Lobster Cave meal with alleged mafia figure Tony Madafferi.

"After carefully assessing the information provided to IBAC in a letter from Mr Guy MP, as well as other information in the public domain, IBAC has determined the information does not fall within our jurisdiction," a spokeswoman for the commission said.

"Accordingly IBAC will not be investigating this matter on the basis of the information provided to date. Mr Guy has been advised."