The match against Reading, which the Lions won 2-0, was briefly halted in the first half by referee Keith Stroud while he spoke to both managers.
An announcement was also made over the public address system at half-time.
Detective Constable Phil Dickinson, from the Metropolitan Police’s Public Order Crime Team, said: “We take any allegation of abuse very seriously and are investigating this matter.
"If anyone witnessed the incident or has video footage of it, I would urge them to come forward to assist us in our investigation.”
Millwall and the FA investigated the matter at the time and now the police are involved.
The Lions said in a statement: “The club has a zero-tolerance policy against discrimination of any kind. Any individual found guilty of such abuse at The Den is issued with an immediate lifetime ban.”
Anyone with information should contact Crimestoppers anonymously on 0800 555 111 or the Public Order Crime Team on 020 8246 9386.