The inquiry accuses unidentified members of the group, which was not named, of attempted murder.
Prosecutors on Tuesday said the letter, mailed to ECB chief Jean-Claude Trichet, contained an inflammable substance, probably weedkiller.
The explosive device was in working order, said a spokesman for the federal prosecutor's office, which has taken charge of the investigation.
Wires were discovered poking out of the letter, which had been mailed from Italy, when it was opened on Monday at the ECB's headquarters in Frankfurt.
Police said it was sent from Bologna, northern Italy, where the head of the European Union's executive arm, Romano Prodi, received a booby-trapped parcel at the weekend.
The package sent to Prodi caught fire, but he escaped unharmed.
A German police spokesman said they were investigating a possible link with the attack on Prodi, which the Italian interior ministry reportedly blamed on anti-European Union anarchists.