Colom said the US Federal Bureau of Investigation (FBI) had been asked to aid the investigation into Rosenberg's death, information later confirmed by US officials in Guatemala.
Guatemalan authorities have also asked the International Commission Against Impunity in Guatemala (CICIG), a United Nations panel set up in 2007 to clean up corruption in Guatemala, to aid the investigation.
Rosenberg was shot dead on Sunday while riding his bicycle in an affluent area of the capital, Guatemala City.
In a video later posted on YouTube, he said officials might want to kill him since he represented a businessman allegedly murdered because he had refused to engage in acts of corruption that Colom purportedly invited him to participate in.
The businessman, Khalil Musa, was shot dead on April 15 in Guatemala, along with his daughter.
Rosenberg's death has shaken the country and led to protests and calls for Colom's resignation.
However he told Al Jazeera he had no intention of stepping down over the matter.
"The people of Guatemala has the right to protest and ask for justice ... but be careful of crossing the line," he said.
"Accusing a president of murder publicly could be sedition, [it] is sedition if they cannot prove it. It's not against me, Alvaro Colom, they are accusing the constitutional president of the republic of a crime in which they have no proof."
Colom has already won support from the Organisation of American States (OAS), based in Washington, which passed a resolution on Wednesday approving support for his administration "in its obligation to preserve the institutions of democracy and the rule of law".
Colom's 2007 election victory gave Guatemala its first left-leaning leader since Jacobo Arbenz was thrown out of office in 1954 by a coup orchestrated by the US Central Intelligence Agency (CIA).