Yes there was an investigation. Picking the first googled mainstream source here is Time magazine's recounting of some of the events in a related 2002 story, "The FBI Puts Down Stakes in Yemen," Mar. 02, 2002
"[US Ambassador Barbara Bodine] and FBI on-the-ground supervisor John O'Neill clashed so heatedly whenever O'Neill wanted Bodine to press Saleh for help that Bodine refused to allow O'Neill to return to Yemen after he left the country around December 2000. O'Neill retired from the FBI in the summer of 2001 to take a job as security chief of the World Trade Center complex; he died on September 11 as he was trying to lead his staff to safety. But even with O'Neill out of the picture, relations between Bodine and the FBI agents still stationed in Yemen did not improve."
This is just a hint at the trouble the Clinton State Department caused the investigation of the Cole bombing. An investigation BTW some believe would have led to the plans for 9/11/01.
An aside, just to illustrate once again the sick feeeeeeeeeeelings of the left's "mind" they routinely claim that O'Neill left the FBI on account of the Bush Administration. Fact is O'Neill tried for years to alert the Clinton adminstration to the threats.
http://www.time.com/time/nation/article/0,8599,214062,00.html
BTW again, to illustrate how sick some of the minds in the Bush adminstration are Ms Bodine almost got a key assignement in post war Iraq!