The 23-year-old was substituted off at half-time after feeling something pull in his right thigh.
No official statement has been made but Calcio News reports there are fears that the Granata striker could miss the next seven to eight weeks.
Immobile did not take part in training on Tuesday as the club want to wait until 48 hours after the injury to diagnose the severity, meaning tests will likely take place on Wednesday.
The former Juventus and Genoa striker has had a great season, scoring nine goals in 16 appearances for the Granata this campaign.
Follow Adriano Boin on Twitter: @Boin44