The Federal Communications Commission sent a letter to AT&T Inc. to express concerns over the telecom company’s practice of exempting its own streaming video services from data-usage caps for its wireless customers.

The Dallas telecom giant, which agreed to buy Time Warner Inc. for $85.4 billion last month, began the practice known as “zero rating” with its own DirecTV’s video app in September. AT&T has said it plans to do the same for its over-the-top service DirecTV Now when it launches later this month.

AT&T’s...