During the first-half of the 0-0 Europa League draw in Rome, a section of the home support began singing "Juden Tottenham" to the followers of the north London club.
The chanting followed an attack on Spurs fans in a bar in Rome in the early hours of Thursday morning in which 11 people were injured, one of whom faces two weeks in hospital after being stabbed in the head and leg.
An FA spokesperson said: "We were saddened and alarmed to see reports of violent incidents prior to the game as well as anti-Semitic chants.
"The FA had a crowd control advisor present at the fixture who will provide an urgent report, which we will pass on to UEFA as a matter of priority."
Lazio may now be facing further sanctions from UEFA, having already been fined £32,500 because their fans made monkey chants at three Spurs players during the reverse fixture in September.
And two Italians, believed to be fans of AS Roma, have reportedly been charged with attempted murder following the bar attack.