It is alleged Malthouse had terse words with St Kilda players from the quarter-time huddle after a scuffle broke out between the two sides in the fiery encounter.
Speaking on Triple M, Saints midfielder Leigh Montagna confirmed the club would look into the incident in the coming days.
"I would think now we will make a formal complaint," Montagna said.
"If it is investigated I would think the players involved and the club will do everything they can to be honest and give the right information so that it all comes out."
Collingwood president Eddie McGuire remained tight-lipped on the specifics of the situation, however he did acknowledge that his club would also look into the incident.
"We will have a look at it and we'll have a look at where Mick Malthouse was standing," he told Triple M.
"Mick's position was that he was spraying everyone in the vicinity [including for] our blokes to get out of the way and I think he looked up and saw [Steven] Baker had [Alan] Toovey by the throat ... with all sorts of people around the place.
"Tempers were going, but that's life in the fast lane on Friday night football."
Speaking to the media immediately after the game, Malthouse denied any interaction with players from the opposition camp.
"I didn't have words to Saints players," he said.
"I had words to my players to make sure they didn't get involved so let's get that right from the start."
