The song, which references the size of the Belgium international's manhood, has been slammed as offensive by anti-racism campaigners, including Kick It Out.
Both Lukaku and United have come out to ask fans to drop the chant, set to the tune of "Made of Stone" by The Stone Roses.
“Great backing since I joined #MUFC. Fans have meant well with their songs but let’s move on together. #RespectEachOther”, was Lukaku's message following the controversy, as posted on United's official Twitter account.
But after the striker continued his fine scoring record at St. Mary's, it could clearly be heard from the visiting end of Southampton's stadium.
"We're Man United, we'll sing what we want," followed from the away fans, in a defiant rejection of the pleas.
Radio reports suggested that stewards subsequently removed several supporters from the ground, although it is yet to be confirmed whether that was related to the chant.