The south-east London club made the threat after the ugly scenes which marred Barnsley’s 3-1 win over Millwall in the League One play-off final on Sunday.
A club spokesman said: “Millwall Football Club deplores the actions of a small minority of its fans during the second half of Sunday’s League One play-off final.
“Such behaviour is unacceptable and anyone found guilty of disorder will face life bans from the football club.”
Fans had charged around the top tier attempting to force their way into the opposing end while others appeared to lob coins at Tykes players.
The FA, English football’s governing body, said it “condemns the disorder caused by a small number of fans” at the match.
A spokesman said: “We will work closely with the clubs, the Football League and the Met Police to identify those involved and take appropriate action.
“We would like to take this opportunity to praise the actions of our stewards and the police, who responded responsibly under provocation .”
Metropolitan Police said 15 arrests had been made outside the ground. Enquiries are continuing into matters inside the stadium but no arrests have been made so far.
A Met statement said: “The Metropolitan Police Service will conduct a review and will liaise with the Football Association and the two clubs involved to identify those responsible and take appropriate action.
“Fifteen people were arrested outside the ground, before and after the game, largely for public order offences. We are not aware of any serious injuries.”
Millwall fans had previously fought amongst themselves during the 2013 FA Cup semi-final against Wigan at Wembley.