A photograph appeared to show a fan making a 'monkey' gesture during the Blues' Capital One Cup fourth-round win over Manchester United at Stamford Bridge.
"An investigation has been launched," a statement read. "There have been no arrests and enquiries continue."
The move by police comes after the club confirmed they had launched their own investigation into the incident.
A statement read: "Chelsea Football Club can confirm we are investigating an incident involving a member of the crowd at last night’s game against Manchester United.
"The club will be examining all available footage and asks anyone who can identify the individual to contact the club.
"Chelsea FC is committed to removing all forms of discrimination and if we have sufficient evidence we will take the strongest possible action, including supporting criminal prosecution."
The fresh allegations of racist behaviour come just a day after Chelsea decided to make a formal complaint against referee Mark Clattenburg following a controversial 3-2 defeat to United at the weekend.
Clattenburg is alleged to have said "shut it, monkey" to Chelsea midfielder John Obi Mikel - the referee is believed to be shocked and angry at the accusation, which he is set to deny.
Issues of race and discrimination in English football have been placed firmly in the foreground by events over the past 12 months.
Chelsea captain John Terry was suspended for Wednesday night's cup game as he serves a four-match ban for racially abusing QPR defender Anton Ferdinand in a Premier League fixture last season.
Liverpool striker Luis Suarez was banned for eight games for racially abusing Patrice Evra in another high-profile case of racist abuse last season and a Liverpool fan was subsequently given a four-year banning order for aiming a monkey gesture at the Manchester United defender in January.