McGregor is alleged to have entered the building through a side entrance together with his entourage before trying to attack a van containing Russian lightweight contender Khabib Nurmagomedov and other fighters as they prepared to leave.
New York Police Department spokesperson Tarik Sheppard said they were “looking into the incident” but that as yet no arrests or warrants had been issued.
Video footage circulated on social media showed McGregor running in a loading area and picking up a trash can.
Clips shot from inside the van showed an object hitting and cracking the vehicle’s windshield before the driver reversed away.
“This is the most disgusting thing that has ever happened in the history of the company,” UFC president Dana White told website MMA Junkie.
Nurmagomedov is due to face Max Holloway in a showdown for McGregor’s belt, which he won in 2016 but never defended, and White has said the winner of Saturday’s bout will be crowned undisputed champion.
Earlier in the week, Russian Nurmagomedov confronted Artem Lobov, the 29-year-old McGregor’s Russian friend, team mate and sparring partner, in a hotel in New York, an incident which may have provoked the Irish fighter.
White subsequently told reporters at the venue that Lobov would not be allowed to fight Alex Caceres as scheduled on Saturday.