The Premier League club said on their website that while most fans at the game against a Malaysian XI had behaved appropriately, others had not.
"We believe Yossi was subjected to anti-Semitic abuse by a number of supporters at the game," the London club added. "Such behaviour is offensive, totally unacceptable and has no place in football."
Chelsea, distant runners-up to Manchester United in the Premier League last season, said they had not made representations at the time because of initial uncertainty about the nature of the abuse.
"Several players from both teams experienced similar treatment, sometimes louder and longer," the club added. "However, having taken time to consider the issue fully, it has become apparent that a formal complaint was necessary."
Chelsea were in Malaysia on a pre-season tour. They are currently in Hong Kong.
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