Johannes Mocken, a spokesman for prosecutors in Duesseldorf, said Tuesday that a repeat of that scene during Sunday's concert could be construed as insulting religious beliefs.
Madonna, who is known for her theatrical, action-packed shows, wears a crown of fake thorns while performing on a mirrored cross.
The stunt, which has been included from the outset of her worldwide "Confessions" tour, has been criticized as an act of hostility toward the Roman Catholic Church.
Representatives for the singer, who will be 48 on Wednesday, have said the scene is not disrespectful toward the church.
Mocken said authorities would rely on media reports rather than sending observers to the concert and that the show might be covered by laws protecting artistic freedoms.
Earlier this month, religious leaders in Rome condemned the concert stunt. Some 70,000 fans attended Madonna's performance at Olympic Stadium, some two miles from the Vatican.