As a result, FIGC prosecutors will obtain video and audio evidence recorded by Rome police for the investigation, sources said.
In the chant, the fans insulted Roma supporters by saying that they "pray in the Synagogue".
Photos published in the media also showed a fan wearing a Lazio shirt with the name Hitlerson above the number 88, a number referring to letters "HH" for "Heil Hitler".
The Rome club released a statement condemning the anti-Semitism, saying it was working with the authorities to "avoid, isolate and combat these phenomenon".
Lazio, like many Italian teams, has a significant number of far-right supporters among its fans.
They have been behind a series of shameful acts of racism and anti-Semitism in the past and have given the club a bad name.
In January the football authorities closed the Curva Nord section of Rome's Stadio Olimpico, where Lazio's hardcore 'ultra' fans stand, for one match over racist abuse directed at Lecce players Samuel Umtiti and Lameck Banda during an away game.
The derby anti-Semitism was also condemned by Lazio e Libertà, a group of the club's fans who are trying to combat the stereotype that depicts all the team's supporters as neo-fascists.
"We express our profound disapproval of those who use our colours to re-evoke the monster of Naziism or the abomination of anti-Semitism, dressing it up as misunderstood jest," the group said via Facebook.
"Lazio is not black, it is sky blue."
ANSA
