Icahn believes Cigna is paying too high a price for Express Scripts, the Journal reported, citing people familiar with the matter.
The Journal said Icahn's stake was less than 5.0 percent of Cigna's shares.
Cigna shareholders are scheduled to vote on the deal on Aug. 24. The two companies hope the deal will help them hold onto profits despite scrutiny for rising healthcare costs.
Cigna's shares closed up 2.0 percent on Wednesday afternoon, while Express Scripts' stock slid nearly 7.0 percent.
Express Scripts shares have been trading well below the value of Cigna's bid.
The arbitrage spread of the deal, which measures that difference, widened to more than 25 percent from 18 percent after Icahn's stake was revealed, suggesting investor skepticism the deal can close.
"Clearly there had been shareholder disappointment and discontent post the transaction announcement," Evercore ISI analysts Mike Newshel and Ross Muken said in a research note
Express Scripts business model is in question, and on its own would likely be worth $57 to $62 a share, they said.
Cigna would be better off doing a share buyback of $7 billion to $10 billion, buying smaller pharmacy benefit managers, and increasing its government paid business, they said.
Leerink Research analyst Ana Gupte doesn't believe investors will vote the deal down, noting that Icahn would need to get other large investors on board.
"I don’t know if he could do that," she said.
Neither Icahn nor Cigna immediately responded to Reuters' requests for comment.
Express Scripts spokesman Brian Henry said the deal would "deliver significant value to shareholders."
Cigna announced the deal in March, looking for new ways to boost profits as the industry faces greater scrutiny for rising healthcare costs.
They say the deal could generate $600 million in savings per year and help Cigna more closely manage how costly drugs are prescribed and delivered to patients.
But headwinds for the companies have strengthened since the deal was announced.
Pharmacy benefits managers (PBMs) like Express Scripts have been in the crosshairs of the Trump administration, which is looking at scaling back or eliminating rebates from drug purchases that are diverted to middlemen like PBMs.
Amazon.com Inc has also purchased an online pharmacy that Wall Street analysts say can help it undercut traditional prescription drug sales.
The deal followed the $69 billion merger announced in December between CVS Health Corp and health insurer Aetna Inc. Shareholders from those companies approved the CVS-Aetna tie-up in March, but they are still awaiting antitrust approval.
(Reporting by Michael Erman and Caroline Humer; Additional reporting by Jilian Mincer in New York; Svea Herbst in Boston and Manas Mishra in Bengaluru; Editing by Sai Sachin Ravikumar and Clive McKeef)
By Michael Erman and Caroline Humer
