He jumped out of his car at about 1am and chased a teenager, but he was unable to hold on to him.
West Yorkshire Police said a 41-year-old man and a 13-year-old youth had been interviewed in connection with the incident and a police spokeswoman said there had been no arrests and no charges.
The spokeswoman said police were investigating criminal damage to a car and also an allegation of assault by a 13-year-old boy.
A spokesman for Leeds United said: "We can confirm that Dennis' vehicle was attacked. The police are investigating the matter and Dennis is co-operating fully with their investigations. His two children in the car were left very upset and his wife and mother-in-law were very shaken by the incident."