The England band were refused entry into the Donbass Arena prior to the Three Lions' 1-1 draw with France yesterday.
Despite assurances from the FA and UEFA, the band had their instruments confiscated before they were permitted inside the stadium.
The band, who estimate that they have been present for over 300 consecutive matches, had travelled 2,500 miles by road to follow their team at Euro 2012.
Pukka Pies, who sponsor the band, are to make an official complaint to UEFA.