Police in Rome on Friday began a probe after the mannequins of three Roma players were hung overnight from a footbridge beside the Colosseum beneath a banner advising them to "keep the lights on at night".
A video posted to YouTube showed a group of 20-30 people unfurling the banner with the chilling message "From a well-wisher: keep the lights on at night when you sleep" and chanting anti-Roma slogans.
The three dummies wore the shirts of striker Mohamed Salah and midfielders Daniele De Rossi and Radja Nainggolan, while a fourth mannequin wore a top with no number.
'Ultras' from Roma's arch-rival Lazio claimed the sinister stunt, stating it was "part of the healthy right to deride our historic adversary" and to "poke fun at their state of depression".
Lazio beat Roma 3-1 in the Derby on Sunday and eliminated Roma in the Italian Cup semi-finals in March.
Roma is currently ahead of Lazio in Italy's Serie A, sitting in second place behind Juventus, while Lazio is in fourth place.