The Israeli international was booed and whistled during the pre-season friendly against a Malaysian XI in Kuala Lumpur.
Chelsea didn't react straight away because they were unsure of the reasons for the abuse.
But now they have decided to act after consulting Malaysian-based Chelsea fans about the incident.
A club statement said: "We can confirm that we have lodged a formal complaint with the Malaysian FA with regards to the treatment of Yossi Benayoun during last Thursday's game against the Malaysian XI.
"Notwithstanding most fans behaving appropriately on the night, we believe Yossi was subjected to anti-Semitic abuse by a number of supporters at the game.
"Such behaviour is offensive, totally unacceptable and has no place in football.
"The club did not make repesentations at the time as it was initially unclear as to the nature of the abuse Yossi received, as several players from both teams experienced similar treatment, sometimes louder and longer.
"However, having taken time to consider the issue fully, it has become apparent that a formal complaint was necessary.
"Our stay in Malaysia was, on the whole, a very positive experience for all the team travelling on the pre-season tour.
"It is a shame, therefore, that the behaviour of a minority of supporters is also a memory we take away."
