Wayne Shaw faces possible action from the Gambling Commission and the FA after it emerged that a betting company had offered odds of 8-1 against any Sutton player tucking into a pie during the game televised live on the BBC.
"Integrity in sport is not a joke and we have opened an investigation to establish exactly what happened," said Richard Watson, enforcement and intelligence director at the Gambling Commission, the regulatory body that oversees British gambling.
"We'll be looking into any irregularity in the betting market and establishing whether the operator has met its licence requirement to conduct its business with integrity."
Later on Tuesday the FA announced its own investigation into the behaviour of 46-year-old Shaw, non-League Sutton's reserve goalkeeper.
"We are investigating to establish whether there has been any breach of The FA rules relating to betting," a spokesman said.
The stunt, picked up by cameras towards the end of the match, was initially treated as a joke.
Shaw, who weighs 20 stone, had featured in publicity during the club's surprise FA Cup run after revealing that he played in the same youth team as former England striker Alan Shearer.
Shaw admitted knowing about the wager offered by Sun Bets, the online betting branch of The Sun newspaper whose logo also appeared on Sutton's shirts.
"I thought I would give them a bit of banter and let's do it," he said.
"All the subs were on and we were 2-0 down. I went and got it at halftime from the kitchen. It was meat and potato."
Shaw denied he had himself placed a bet but as British media gave the story plenty of coverage, it became clear the stunt had gone badly wrong.
"The fame obviously has gone to his head a little bit," said Sutton chairman Bruce Elliott. Manager Paul Doswell said it did not "show us in the best possible light".