A dummy dressed in a Vinicius Junior shirt was hung from a bridge near Real Madrid's training ground ahead of the Copa del Rey quarterfinal clash against Atletico Madrid on Thursday.
"Madrid hates Real," read a banner draped on the bridge close to Valdebebas overnight Wednesday.
The Vinicius effigy was described as a "racist attack" and "serious threat" against the Brazilian forward by Spanish media.
Police sources told AFP they were investigating the incident, without offering further details.
The slogan is one which has been used by Atletico Madrid ultras in the past.
Atletico fans were filmed aiming racist chants at Vinicius in September before the Madrid derby at the Wanda Metropolitano in LaLiga.
However in December Spanish prosecutors closed an investigation into the chants, saying it was not possible to identify those culpable.
Real Madrid's 22-year-old winger is a divisive figure in Spanish football, with opponents sometimes angered by his flair and playing style, and his propensity to go to ground easily.
On the other hand, Vinicius is often targeted and hacked by opposition defenders to try and put him off his game, with no player in Europe fouled more this season.
"We have to protect him," urged Real Madrid coach Carlo Ancelotti on Wednesday in a news conference.
"Football needs him, he's got an extraordinary talent and we have to protect him physically and in a mental aspect too."
Real Madrid host rivals Atletico at the Santiago Bernabeu later on Thursday.