Dieudonne, who has drawn controversy over an increasingly copied trademark gesture that many view as a Nazi-style salute, is already facing a possible ban on public performances over anti-Semitic remarks.
The comedian maintains he is not anti-Jewish, and says the "quenelle", his provocative downward version of a Nazi salute, merely reflects his anti-establishment views.
Judicial sources said the probe would centre around a December 19 performance by 47-year-old Dieudonne at a Paris theatre where he mocked radio journalist Patrick Cohen, who is Jewish.
"When I hear Patrick Cohen speak, I tell myself, you know, the gas chambers... Shame," Dieudonne had said.
The comedian has been in the eye of several storms recently.
Interior Minister Manuel Valls is considering whether to ban all public appearances by Dieudonne, saying he is "no longer a comedian" but rather an "anti-Semite and racist" who fell afoul of national laws against incitement to
And his friend, French striker Nicolas Anelka, replicated the salute after scoring a goal in Britain, risking possible sanctions from the Football Association.
Anelka argued in tweets that the gesture -- in which he thrust his straightened right arm downwards while tapping his bicep with the other hand -- was merely "anti-establishment".
The comedian, whose full name is Dieudonne M'Bala M'Bala, has been fined seven times for defamation, insult, hate speech and for racial discrimination.
He has described Holocaust celebrations as "memorial pornography", made "Heil"-like signs on television as part of a sketch and befriended far-right leaders such as Jean-Marie Le Pen.
Dieudonne decries what he calls the "domination of Zionists" in Western societies and the overemphasis on the horrors of the Holocaust to the exclusion of other crimes, like slavery and racism.