The chants were heard at Fenerbahçe's stadium in Istanbul shortly after Vitaliy Buyalskiy scored the opening goal for Dynamo in a game the Ukrainian team went on to win 2-1 after extra time on Wednesday.
“A UEFA Ethics and Disciplinary Inspector will conduct a disciplinary investigation regarding alleged misbehaviour of Fenerbahçe supporters,” European football's governing body said in a statement.
“Information on this matter will be made available in due course.”
UEFA did not respond to a request for comment on whether the chants could count as banned discriminatory language, or could fall under a rule excluding “provocative messages” of a political nature.
Fenerbahçe said they rejected the chants and that it was unfair to blame the club.