Following the London gig, Primal Scream were reported to the Metropolitan Police by the Community Security Trust, which claimed the video risked “encouraging hatred of Jews”.
It was also condemned by the Campaign Against Antisemitism, which described the video as “sickening and totally inexcusable”.
A spokesperson for the Met Police said the report was being assessed by officers.
Managers of the venue said they deeply regretted that the “highly offensive” graphics were displayed, adding that it was done entirely without their knowledge.
A statement on Primal Scream’s Instagram page, external said: “The film is a piece of art. It clearly draws from history to question where the actions of current world governments sit in that context.
“It is meant to provoke debate, not hate. In a free, pluralistic and liberal society, freedom of expression is a right which we choose to exercise.”
The BBC previously contacted Primal Scream for further comment.