Senator Richard Shelby said MF Global customers are waiting for their money to be returned while a "bewildered" CFTC searches for the funds.
"The victims of MF Global, I believe, deserve better," Shelby said.
Shelby made his comments at a Senate Banking Committee hearing on the implementation of the 2010 Dodd-Frank financial oversight law. CFTC Chairman Gary Gensler is testifying at the hearing.
Gensler said in early November that he was not participating in the investigation of futures brokerage MF Global so he would not become a distraction or risk creating an appearance of a conflict of interest.
Gensler and Jon Corzine, who resigned as MF Global's chief executive early last month, worked at Goldman Sachs at the same time and held prominent positions. They both left the investment bank in the late 1990s.
"Holding the CFTC accountable for its regulatory failures, however, will not be an easy task," Shelby said. "Already Chairman Gensler has been evading questions about his role in the regulation of MF Global."
Shelby has requested that the CFTC's inspector general look into the agency's oversight of MF Global including Gensler's decision to recuse himself from the investigation.