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."
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.