United States international McKennie set up Dusan Vlahovic for the second goal as Juventus earned a 2-0 lead before he was substituted for midfielder Carlos Alcaraz in the 89th minute.
"Juventus take note of the video circulated on social networks... from which it would emerge the intonation of discriminatory chants coming from the visiting sector and directed at Weston McKennie during his substitution," Juve said.
"Following confirmation of the incident by the player, the club communicates that it has activated all procedures aimed at verifying what happened and will fully cooperate in order to identify the persons responsible," the statement added.
Juventus also shared a black and white picture of McKennie on their social media platforms captioned "Never again."
Reuters has contacted Lazio for comment.
