The leader of a die-hard fans' group vaulted over a barrier and pulled off the armband after the Serbian champions were beaten 1-0 by Bulgaria's Ludogorets at home in a third qualifying round, second leg match on Tuesday.
"The MUP (interior ministry) will investigate whether the individual who entered the stadium had been given permission by Partizan football club to be where he was at the time of the incident and the circumstances that led to it," said Vanja Vukic, the MUP national secretary.
The incident occurred on the athletics track behind one of the goals as out-of-favour Scepovic, who was constantly jeered by the 22,000 crowd after coming on as a substitute, approached a stand to salute home fans after the 3-1 aggregate defeat.
Scepovic told a press conference on Wednesday that he had willingly given up the armband to the fan after a poor performance which "merited discontent among the supporters".
Former Partizan captain Nenad Stojkovic, who won three league titles with the club and made 32 appearances for the former Yugoslavia in the 1980s, said: "In my day police would have arrested the entire stand if this had happened.
"Only the relevant club officals can strip a player of the captain's armband and what happened amounts to an assault against Partizan, although Scepovic does not meet the requirements to be a team leader," the 57-year-old told daily Sporstki Zurnal.