He added Ronaldinho told investigators the people who brought him gave him the documents. Ronaldinho was in Paraguay to help a local foundation campaign for children's health, and to promote his new book.
The player was testifying before the country's organised crime unit on Thursday. He spent more than seven hours with the public prosecutor in Asunción.
Delfino said prosecutors have until late Thursday to decide if they will bring charges.
Ronaldinho won the 2002 World Cup with Brazil, the Champions League with Barcelona, the Copa Libertadores with Atletico Mineiro, the Ballon d'Or and two FIFA player of the year awards before retiring in 2015.
Ronaldinho's lawyer denied Thursday that he and his brother had used fake passports to enter the country.
"They decided voluntarily to stay and submit themselves to the public prosecutor's investigations," said Paraguayan lawyer Adolfo Marin.
Their fake documents were detected upon arrival at the Asunción international airport, according to lead prosecutor Delfino.
The ex-Barcelona, AC Milan and Paris Saint-Germain forward and his brother travelled using "doctored Paraguayan passports and fake identity cards," Delfino said.
Brazilian authorities withdrew Ronaldinho's passport in November 2018 after he failed to pay a US$2.5-million fine for environmental damage incurred during the building of a property in Porto Alegre, in southern Brazil.