The comment Wednesday comes after two lawyers made the Facebook group public.
Discussion topics among its 1,200 supporters included how difficult it is to police the parade. Some comments called it "ghetto training" and a "scheduled riot."
Kelly says the comments in question match the names of officers.
Internal affairs is issuing subpoenas for computer records and doing interviews. Departmental charges may be brought.
Kelly says it is disturbing when anyone denigrates a community with hateful speech, but it's really unacceptable if officers do it.