The 22-year-old actor was accompanied by her father Chunky Panday, also an actor, to the NCB office.
Ananya Panday's home was raided earlier in the day by the anti-drugs agency and her laptop and mobile phone were seized.
The name of Ms Panday reportedly featured in the WhatsApp chats of one of the accused in the case involving drugs seized during a rave party on a cruise on October 2.
Ananya Panday and SRK's daughter Suhana Khan are childhood friends. Their parents - Chunky and Bhavana Panday and Shah Rukh and Gauri Khan - also share a close bond.
Aryan Khan has been in jail since October 8 and was denied bail yesterday by a court that said his WhatsApp chat revealed his involvement in "illicit drug activities".
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