Neville ran the full length of the pitch to celebrate Rio Ferdinand's match-winning header in front of the opposition fans.
A statement from GMP read: "Chief Superintendent Andy Holt has written a letter expressing his concern. No criminal investigation is taking place at this stage."
Players have been warned not to provoke opposition fans at matches, particularly with their goal celebrations, and this latest incident could mean trouble for United's defender.
But his brother Phil backs him up, saying: "I think every time United beat Liverpool, my brother always does that," he said. "He loves Manchester United so much and that's the way he shows his emotions.
"Scoring in the 89th minute is a killer for the opposition team and I think you just let that go."
