The Swede sat in the stands and even though there was no audience, there were several people who were invited there by the home team on site and they are said to have insulted Malmö-born Ibrahimovic with derogatory expressions that allude to Muslims of Bosnian descent, writes AP.
According to UEFA's regulations, the home team is always responsible for the behavior in the stands.
There is no timetable for the investigation.
On Thursday, the teams will meet in Milan again.
The first meeting ended 2-2.
Röda Stjärnan has apologized and started an investigation itself.
"The Red Star strongly condemns the insults directed at Zlatan Ibrahimovic," the club said in a statement.