The Lions hosted the Championship leaders at The Den on Boxing Day and played out a 2-2 draw.
However, the afternoon was marred by claims that a section of the home support were allegedly giving out racial abuse towards the Wolves players and staff.
"Millwall has today been made aware of alleged abuse directed towards Wolverhampton Wanderers players and club staff during the Championship game between the two clubs at The Den on Boxing Day," a statement read.
"The club will, alongside Wolves, its own security team and the police, investigate these serious allegations immediately and comprehensively.
"The club wishes to reiterate that it operates a strict zero-tolerance policy to any abuse of this kind at its football matches."
Wolves, meanwhile, stated that they were made aware of the allegations by their own supporters, and confirmed that they are working with Millwall and the FA to investigate the matter.