Tickets for the final between Liverpool and Milan in Athens have been changing hands at many times face value but new laws in the UK mean touting can be a criminal offence.
Uefa said in a statement: "Police in the UK have sent out a warning letter to several companies and individuals offering tickets for sale to high-profile Uefa matches such as the Uefa Cup and Champions League finals, asking them to immediately take such tickets off the market."
The Football Association have defended their decision to allocate only 50,000 tickets to fans of Manchester United and Chelsea for the FA Cup final at Wembley. Each club was given 25,000 tickets to sell for the match on 19 May, the first FA Cup final to be played at the newly-built, 90,000-capacity stadium.
Adrian Bevington, an FA spokesman, said: "Demand always exceeds what is actually available and that's the harsh reality of it."