During the latter stages of Arsenal's 3-1 win against Manchester United, the legendary midfielder was involved in an altercation.
He and co-pundit Micah Richards were believed to be making their way down to the side of the pitch for their post-match broadcast.
An unidentified man is then alleged to have aimed a headbutt at Keane, with a video showing Richards holding him back.
One eye-witness claims to have seen blood on the floor, and the Metropolitan Police announced on Monday that a 42-year-old man has been arrested on suspicion of assault [ABH].
Sky are set to review their security following the incident in one of the Emirates Stadium's hospitality area, as reported by the Daily Mail.
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They could look to bring in bodyguards, something they did to protect Australian pundits during their coverage of The Ashes.
The report adds that a review will take place over the course of the international break, with broadcasting rivals TNT Sports also set evaluate their security.
Following the incident, a Sky Sports spokesperson said: "We understand the police are investigating an alleged assault by a member of the public immediately preceding the footage circulating on social media.
"In the footage seen, Micah Richards was acting to diffuse a situation."
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The incident with Keane is said to have taken place shortly after Man United star Alejandro Garnacho's goal, which was subsequently ruled out by VAR for offside.
Arsenal went on to secure a dramatic win as Declan Rice and Gabriel Jesus both netted in stoppage-time to steal all three points when United thought they won them late on.