The incident comes after Chelsea chairman Bruce Buck had greeted fans before the game at the Amex Stadium in an attempt to present a positive image following allegations of anti-Semitic chanting at their Europa League match at Vidi FC last week.
It also follows on from Chelsea banning four supporters pending a police investigation after the alleged racist abuse of Manchester City forward Raheem Sterling at Stamford Bridge earlier this month.
"Officers received reports of anti-Semitic chanting on board a train ... at around 4 p.m. yesterday afternoon," a British Transport Police statement said on Monday.
"BTP attended and three men were spoken to by officers, but at this time no one has come forward to make a complaint."
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The statement also appealed for witnesses to come forward.
Chelsea and Brighton could not be immediately reached for comment.
After Thursday's incident in Budapest, Chelsea said in a statement: "Anti-Semitism and any other kind of race-related or religious hatred is abhorrent to this club and the overwhelming majority of our fans. It has no place at Chelsea or in any of our communities.
"We have stated this loud and clear on many occasions from the owner, the board, coaches and players.
"Any individuals that can't summon the brainpower to comprehend this simple message and are found to have shamed the club by using anti-Semitic or racist words or actions will face the strongest possible action from the club."
(Reporting by Christian Radnedge; Editing by Andrew Roche and Alison Williams)
