If by non-physical, you mean something with no effects on the world, then no, it cannot be investigated.
If you include in the non-physical things that can have effects on the world, then yes, it can be investigated by observing and experimenting in relation to those purported effects.*
And if you include in "investigation" simple reasoning within an axiomatic system, then even mathematics can be "investigated," regardless of whether one views mathematics as having effects on the world or not.
* E.g. if one accepts the "metaphysical presupposition that the mental world affects the physical world," then under that assumption, the mental world can be investigated.