Bolton forward Marvin Sordell claimed on Twitter that he was taunted by fans at the London club's ground on Saturday as he warmed up as a substitute. He also alleged that three other Bolton players were abused during the Championship fixture.
Scotland Yard said no official complaint has yet been made, but that any allegations would be investigated, and a spokesman said: "There has been no complaint made to us, but if any allegation of racist behaviour or chanting is made it will be investigated thoroughly."
Sordell, who also plays for England Under-21s, said on the social networking site: "It's 2012 in England and people are still shouting racial abuse at a football game!? #shocking."
In another entry, he claimed Lee Chung-yong, Darren Pratley and Benik Afobe also suffered abuse.
He said: "Chungy, Pratts, Benik and I had all sorts of things said to us. The police were standing yards away and did nothing."
Both Millwall and Bolton are investigating the claims.
Millwall's statement said: "The two clubs remain determined to do everything in their power to ensure that racist behaviour will not be tolerated.
"We will be speaking to the police and the match officials on this matter but no further comment will be made until this process has been completed and the investigations have been concluded."
Bolton said they are working with Millwall in the inquiry, and added: "Both clubs remain determined that racist behaviour or language will not be tolerated."
- Marvin Sordell