Casper Ankergren was then subjected to taunts by some Millwall supporters following the goal.
The Dane said he also had missiles thrown at him and one man was arrested on suspicion of assault.
The FA has confirmed it will make enquiries and gather information from all concerned parties.
Millwall have confirmed that any fans arrested will be banned from all their games for the foreseeable future and that Ankergren has received apologies from the club.