BSEE also said it had instructed operators of pipelines in the area to survey their lines.
The sheen is about 130 miles southeast of New Orleans. Royal Dutch Shell PLC has two production platforms in the area. The company said Thursday it is confident the sheen didn't originate from its operations. The Coast Guard said it was too early to tell Thursday afternoon whether any environmental damage had occurred.
In the search for the source, BSEE said it directed Shell to use the remotely operated vehicle to conduct a seafloor assessment of plugged wells and an area where natural seepage is known to occur.
The sheen was spotted Wednesday.
Shell estimates the sheen at six barrels of oil, or about 252 gallons. The company sent a response ship to skim the area as a precaution.
The company has two production platforms in the area, called Mars and Ursa.
Shares in Royal Dutch Shell PLC fell in European trading early Thursday after the sheen was reported. But shares rose after New York trading opened.
In afternoon trading, Shell's U.S. shares were up 37 cents at $68.12.
In a statement Thursday, the company said it found no sign of leaks and ruled out any well-control issues associated with its operations. The sheen was spotted late Wednesday.
A Coast Guard helicopter with a pollution officer on board headed out Thursday to the site in an effort to determine the source of the oil.
"We are treating this very seriously, as we do all reports of possible pollution. And, in consultation with our state and local partners, we will ensure that all measures are taken to fully investigate and, if necessary, mitigate any impact this could potentially have," Coast Guard Capt. Jonathan Burton said in a news release.
Shell operates six major offshore facilities, 13 crewed platforms and numerous subsea systems in the Gulf.
The sheen was reported in an area about 50 miles from the site of BP's Macondo well, which blew out in April 2010 and created the nation's worst offshore oil disaster. The now-plugged Macondo well is in about 5,000 feet of water.
Sheens spread quickly as oil breaks down and a small amount can cover a large area. Earlier this week, a tanker in the Mississippi River south of New Orleans spilled an estimated 50 gallons of oil. The sheen from the discharge extended almost 30 miles downriver.