Based on the data of China’s A share listed companies from 2015 to 2019, this paper discusses the economic consequences of the regulatory mechanism of inquiry letter from the perspective of the third party service supplier—the auditor. It is found that the auditor changes are more likely to occur after the company receives the inquiry letter of the annual report of the exchange. Further analysis of auditor change from the perspective of audit supplier and audit demander shows that the regulatory mechanism of annual report inquiry letter is more likely to lead to the change of auditors who do not have industry expertise, and the company with higher risk is more likely to change the auditor after receiving the letter. Finally, we analyze the heterogeneity of the annual report inquiry, and find that the more the number of problems included in inquiry letter of annual report and the need for audit firms to express their verification opinions, the higher the possibility of auditor change. The conclusion enriches the analysis of the economic consequences of the inquiry letter, and provides a new idea for the research on the relationship reconstruction between auditors and customers.