The parliamentarian was captured on video apparently discharging what looked like an assault rifle at the Sisa Dukashe Stadium in Mdantsane on Saturday.
The EFF was in East London in the Eastern Cape at the weekend where the party marked its fifth birthday anniversary.
The video shows the EFF singing and dancing on stage. During a song, Malema goes to the side of the stage and appears to fire several rounds from the rifle. EFF national spokesperson Mbuyiseni Ndlozi was reported to have dismissed the claims, saying that the gun seen in the video was a toy gun.
National police spokesperson, Brigadier Vishnu Naidoo confirmed the SAPS had registered a case of discharging of a firearm in a built-up area, adding that due process would follow.