The clash in Greece had to be stopped in the second half as flares were lit and thrown during some unsavoury scenes at the Toumba Stadium on Thursday night.
"It was our lot who started it. Such behaviour cannot be tolerated," said Watzke, according to the club's official website.
"We made our position clear to the groups concerned before the match. Now we need to review what happened. As a general principle, I think it's important to hear from all those involved.
"But today's events were very clear. We will be given another hefty fine for this. If you disrupt a match, then you've crossed the line. It's no longer acceptable."
Dortmund return to Bundesliga action on Sunday when they face rivals Bayern Munich in Der Klassiker.