The club from Kazakhstan killed a sheep last week at the Astana Arena the day before beating Celtic 2-0 in the playoffs.
In Glasgow ahead of Wednesday's return match, Shakhter coach Viktor Kumykov suggested the ritual could be repeated.
UEFA says its competitions department wrote to inform Shakhter that animal slaughter "was not acceptable in or around our competitions."
UEFA says the Kazakh club "would face sanctions if it happens again."
Shakhter, the lowest-ranked team remaining in the Champions League, is aiming to reach the 32-team group stage for the first time.