"During a phone call between [Prime Minister Fuad] Siniora and Annan, [Annan] told the prime minister he would use every means possible to convince the magistrate to stay in his post," a statement from Siniora's office said, according to AFP.
German prosecutor Detlev Mehlis leads the UN investigation into the February assassination of al-Hariri, but has said he will step down when his mandate runs out on 1 January.
"My employer is my country, Germany. I have other tasks that are waiting for me," Mehlis said this past week.
US Ambassador to the United Nations John Bolton also urged that Mehlis stay on the job, Reuters reported.
"We understand he has extended his tenure once and he's in dangerous personal circumstances there," he said in reference to threats made against the prosecutor.
In a letter to Annan on Thursday, Bolton said the United States wanted Mehlis to "continue in his current capacity".
"I am concerned that a wholesale change in the leadership of the commission would be exploited by the Syrian government to forestall their full and complete cooperation," he wrote.
Mehlis' team issued an explosive preliminary report in October that cited converging evidence of top level Syrian and Lebanese involvement in the 14 February bomb blast that killed al-Hariri in Beirut.
Mehlis took the chief role of the inquiry in mid-June and has said he will not quit or step down prematurely.
The UN investigation's mandate is set to expire on 15 December, and the Lebanese government said on Thursday that it would ask the United Nations for a six-month extension.