The comic previously claimed that he would travel to London to support the West Bromwich Albion striker, who faces an FA ban for making the gesture during the Baggies' 3-3 draw with West Ham United in December.
Many believe that the pose, which was created by M'bala M'bala, is anti-Semitic as it appears to demonstrate a reverse Nazi salute.
The Daily Mail quotes a Home Office spokeswoman as saying: "We can confirm that Mr Dieudonne is subject to an exclusion order.
"The Home Secretary will seek to exclude an individual from the UK if she considers that there are public policy or public security reasons to do so."
The comedian has previously been prosecuted for inciting racial hatred through anti-Semitic jokes.