The striker, who was re-signed for £97.5million from Inter Milan this summer, twisted his ankle during the Champions League victory.
Chelsea will be without the Belgian for the next 3-4 weeks, according to The Sun, which would see him miss Premier League matches against Norwich, Newcastle, Burnley and Leicester.
Lukaku being unavailable could be a huge blow to the Blues' title hopes, which is made worse by the fact German forward Timo Werner also hobbled off the pitch in the same match.
Thomas Tuchel will now have to turn to Kai Havertz - who scored the winning goal in the Champions League final earlier this year - to lead the line.
The youngster has scored just twice in all competitions so far this season, but he will need to step up now his strike partners are unavailable.
Lukaku's agent, Federico Pastorello, believes his client can come back earlier than expected from the injury, however.
Pastorello told Sky Sports News: "I was very worried because Romelu is a player who really wants to play and the fact he stayed lying on the pitch so long after the penalty - it doesn't look good to me because he is someone who immediately stands up.
"The fact he was down for four minutes, I was with Petr Cech and I told him while watching the game that it was something I was scared about because he isn't one to make a fake scene.
He added: "He was very sad actually as a first reaction but everybody was seeing he was playing a good game and I am 100 per cent sure he would have scored goals [had he stayed on].
"He was on fire but he is really concentrated and will be focused on his recovery as soon as possible.
"He has his physio at home so he is working hard every evening even before he goes to sleep so, if there is a time to come back, it will be earlier than planned."