FIFA confirmed they had received a complaint, believed to be from the Football Association of Malawi, but refused to give any more details.
Malawi are believed to be upset by comments made by Keshi about their Belgian coach Tom Sainfiet.
Sainfiet said that the World Cup qualifier between the two countries next month should not be played in the Nigerian city of Calabar due to safety concerns.
In response, Keshi told African TV that Keshi was "mad" and "crazy" before saying "he is not an African person, he is a white dude. He should go back to Belgium."
Saintfiet admitted to the BBC that he was unhappy with the remarks: "If a European said something of this nature about an African, you would have a huge problem. I am against racism in all directions."
FAM general secretary Suzgo Nyirenda added: "We feel the racist remarks by Mr Keshi are not acceptable.
"We thought it was a personal attack on our coach and we had to defend him regardless of skin.
"We felt we should help our coach and at the same time put a stop to the racist remarks from Mr Keshi.
"We have sent evidence of what Mr Keshi said and we hope Fifa will come up with some measures to control Mr Keshi."