John performed for thousands of people at the Piedigrotta festival in Naples in September 2009.
At least £509,000 of EU funds were said to have been used to pay for his concert.
EU spokesman Tom van Lierop told Associated Press today that the EU Commission wants “to know as quickly as possible” why the money was used for the performance.
The funds are normally used to boost the economies of poorer EU countries.
Dario Scalabrini, who was involved in organising the protest, argued: “This money was given for the marketing of the city, and that is what we did. Just consider the number of people who stayed in Naples because of the concert.”