Shetty was accused of entering the Gopinath Deb temple of Sakhigopal near Puri Thursday with her shoes on.
The temple authorities later filed a complaint with the Satyabadi police station against the actress.
"The temple executive Sachidananda Das along with some staff members of the temple have filed a complaint against Shilpa Shetty. They have complained that the Bollywood actress has violated the shrine rules," said officer in-charge of Satyabadi police station Prasanna Kumar Biswal.
"I was present when the actress reached the spot as we had instructions to go there for her protection. The crew had already taken the permission of temple authorities to shoot there. Since the complaint has come we are looking into the matter. No serious case is made out against the actress as per IPC (Indian Penal code)," Biswal said.
"We are trying to find out whether she has hurt the religious sentiments by entering the temple with shoes on. We are also discussing the matter with senior officials before we file a case," he said.
"Some people seem to have unnecessarily dragged in Shilpa Shetty. However, we are investigating the matter," Biswal said.