The song appeared to be directed at rivals Tottenham Hotspur, who have a traditional Jewish fanbase.
Afterwards, Chelsea, whose owner Roman Abramovich is Jewish, issued a statement that said: "The club and the players appreciate the fans' passionate support away from home.
"But the language in that song is not acceptable at all. We've spoken to Alvaro after the game. He does not want to be connected with that song in any way and both the club and the player request the supporters stop singing that song with immediate effect."
Morata later posted on Twitter: "Since I arrived, I have been able to feel your (the Chelsea fans') support every single day, you are amazing and I'd like to ask you to please respect everyone!"
The anti-racism group Kick It Out also condemned the song. "There is no place for such disgusting chants at football matches and in wider society," it said in a statement, which also called for a ban on any supporters caught singing it.
(Reporting by Neil Robinson, editing by Pritha Sarkar)