Fans booed when the Denmark anthem was played before kickoff. Jeers were also heard when the German anthem was played at Wembley last week when England beat Joachim Loew's side in the round of 16.
"The case will be dealt with by the UEFA Control, Ethics and Disciplinary Body in due course," UEFA said in a statement. England are looking to win their first major trophy since the 1966 World Cup and play Italy in the European Championship final at Wembley on Sunday.
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