Officers from the Hertfordshire Constabulary took the coat from Elstree Studios earlier today after a number of complaints from viewers.
The issue of the singer's coat has been hotly debated on discussion boards of animal rights groups.
Police confirmed the coat will now go for testing to determine what fur the coat is made from.
The former Dead or Alive frontman could face jail for wearing it because owning gorilla fur without a permit is illegal in the UK. Burns has been informed of the situation by Channel 4.
The cross-dressing 80s pop star, who wore the coat on his entrance to the 'Celebrity Big Brother' house, told his fellow housemates the coat was gorilla, much to the annoyance of Peta campaigner Jodie Marsh.
Animal rights campaigners are urging people to get Burns out of the 'Celebrity Big Brother' house. Alongside Respect MP George Galloway, he survived last Friday's eviction when Marsh went.
A spokeswoman for Channel 4 said: "Pete's coat has been passed to the police for their investigations and as such is now a police matter."
The incident comes just days after private lawyer Tony Bennett tried to bring a private prosecution against Michael Barrymore, relating to events surrounding the death of Stuart Lubbock, who drowned in the entertainer's swimming pool in 2001.
Channel 4 refused to cooperate and told Bennett, who is representing the Lubbock family, to issue the papers to Barrymore's lawyer.
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