The incident occurred in the second half, as Barnsley won 3-1 to seal promotion back to the Championship.
"An altercation between a small number of fans occurred," New Scotland Yard said. "No arrests have been made at this stage and enquiries continue."
The Football Association and Millwall have both condemned those involved.
The London club said in a statement on their website: "Millwall Football Club deplores the actions of a small minority of its fans during the second half of Sunday's League One play-off final.
"Such behaviour is unacceptable and anyone found guilty of disorder will face life bans from the football club."
An FA statement said: "The FA condemns the disorder caused by a small number of fans. We will work closely with the clubs, the Football League and the Met Police to identify those involved and take appropriate action.
"We would like to take this opportunity to praise the actions of our stewards and the police, who responded responsibly under provocation."
The Police's statement added: "The Metropolitan Police Service will conduct a review and will liaise with the Football Association and the two clubs involved to identify those responsible and where necessary take the appropriate action."

The Tower of Refuge will be lit up in recognition of Rotary International's Thanks For Life campaign.
The Rotary Club in Douglas is holding fundraising activities across the Isle of Man over the next seven days.
Purple was chosen because medical teams stain children's little fingers with a purple dye to show they have been immunised.
The campaign is the final push in the club's campaign to remove polio from the four countries where it is prevalent.
Howard Callow is the chairman of club service at the Rotary Club of Douglas.
He said: "Purple is the chosen colour and thanks to the help from the Department of Infrastructure we will see the Tower of Refuge turning purple, which will be quite a sight.
"It's not the first time that important landmarks have been used, as part of a campaign, the Houses of Parliament in Westminster have been used, Table Mountain in South Africa has been used, so the Tower of Refuge is up there with the world's greatest heritage sights."
Over the last 20 years, polio cases have been cut by 99%, and the condition is close to being eradicated.
It is still endemic in Afghanistan, India, Nigeria and Pakistan.
And it is present in more than 12 countries altogether.

The referee inspected the surface just before 19:00 GMT and deemed it unplayable.
No new date has yet been set for the game to be played.
Police are to conduct a review after Millwall fans were involved in crowd trouble during the League One play-off final with Barnsley at Wembley.
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An Isle of Man landmark will be bathed in purple light as part of a campaign to eradicate polio.
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Tuesday's National League game between Boreham Wood and Braintree Town has been postponed because of a frozen pitch at Meadow Park.