Argentine Sala died in a plane crash last month days after joining Cardiff and his body was found on Thursday.
Two Southampton fans were photographed making aeroplane gestures during their side's 2-1 home Premier League defeat by Cardiff on Saturday.
"Southampton Football Club can confirm that two fans were detained and had their details taken by police during our match against Cardiff City," the club said in a statement.
"Such behaviour has no place in our game and will not be tolerated at St Mary's."
Southampton said they would work with Hampshire Police to identify individuals who made indecent gestures towards Cardiff supporters.
"The club will be taking an extremely firm stance against anyone involved and intends to ban those supporters identified," they added.
Players from both teams observed a minute's silence in tribute to Sala before the game.
"We wanted to do it for Emiliano and I'm really proud the lads have done him justice," Cardiff manager Neil Warnock said.
(Reporting by Ed Osmond; Editing by Ian Ransom)
