European football's governing body has opened disciplinary proceedings against the Danish champions for supporters in the away end "setting off fireworks".
Uefa holds host clubs responsible for security inside and around the stadium, "unless they can prove that they have not been negligent".
Leicester won the game 1-0.
Uefa's control, ethics and disciplinary body will deal with Copenhagen's case on 17 November.
Elsewhere, three Polish football fans were arrested in Spain on Tuesday hours before Legia Warsaw's Champions League meeting with Real Madrid, AFP reported.
The three supporters, aged 31, 33 and 34, are alleged to have attacked waitresses in a bar in the La Latina district of Madrid, stealing the mobile phone of one woman and attempting to rob cash from the till, a police spokesperson told the news agency.
Legia have already been made to play their home game against Real, on 2 November, behind closed doors.
The Polish champions were punished by Uefa last week for racist behaviour and fighting among the home fans during a 6-0 defeat by Borussia Dortmund.
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23 June 2014 Last updated at 14:32 BST
Two men from the city have been identified taking part in what appears to be a Jihadist recruiting video, which was posted online last week.
It is thought Reyaad Khan travelled to Syria with friend Nasser Muthana who also appears in the footage.
An expert on radicalisation, Dr Suraj Lakhani of Cardiff University, said: "As far as I'm aware, there has been an issue in Cardiff for a while now."
Nicky Smith spoke to one of the families and the local community, while Jordan Davies speaks to Sheikh Zane Abdo, Imam at the South Wales Islamic Centre.

Hawkins, 24, finished ninth in the Rio Olympic final in August in only his third attempt at the distance.
"We are delighted to confirm Callum's selection," British Athletics performance director Neil Black said.
"We can already see his talent, finishing eighth at the London Marathon then a brilliant ninth place in Rio."
In October, Hawkins became the first Scot to win the Great Scottish Run since 1983, setting a Scottish half-marathon record in the process with his time of 60 minutes 22 seconds.

The government and private operators run TV and radio stations and outlets from American Samoa are readily available.
By June 2015, there were nearly 27,000 internet users (InternetLiveStats.com). Internet cafes are widely used.
Leicester City will not face Uefa charges after FC Copenhagen fans let off flares before Tuesday's Champions League game at the King Power Stadium.
[NEXT_CONCEPT]
Cardiff has an ongoing problem with the radicalisation of young Muslims, said an academic who has studied the issue.
[NEXT_CONCEPT]
Scottish marathon runner Callum Hawkins has become the first athlete selected for the British team at the London 2017 IAAF World Championships.
[NEXT_CONCEPT]
Press freedom is "generally respected", according to US-based Freedom House.