Ashley Cole and Ashley Young, who are black, were singled out for abuse on social networking site Twitter after Sunday's shootout loss in Kiev.
The Metropolitan Police says "we are aware of alleged racist comments on Twitter following last night's England game and have launched an investigation."
The force says the comments are on a Twitter account "supposedly based in London."
The Football Association described the posts as "appalling and unacceptable".
Welsh student Liam Stacey was jailed for 56 days in March after racially abusing two Twitter users and mocking Bolton footballer Fabrice Muamba after he collapsed during a game and almost died.