Thousands of football fans flocked to Melbourne's Lygon Street to watch Italy beat England in the Euro 2020 final, following a nail-biting penalty shootout.

Early on Monday morning, fans packed into cafes and bars on the strip, affectionately known as Little Italy, to watch the match.

A projector was also set up in Piazza Italia, in the Argyle Gardens, where flares were lit as a save from Gianluigi Donnarumma sealed the game for Italy - its first European Championship win since 1968.

Victoria Police confirmed five people were arrested for letting off flares at the end of the match.

Police officers and the public order response team remain on the strip as the party continues.

"We know many fans will be looking to continue the celebrations or commiserations throughout the day but we are urging people to be respectful and responsible," Victoria Police said in a statement.

"Any anti-social behaviour or alcohol-fuelled violence will not be tolerated."

Victoria's Deputy Premier James Merlino, whose father Bruno was born in Italy, said he was "delighted" by the win.

"It was a win and a pretty exciting thing for the very vibrant, very large Italian community here in Victoria," he told reporters.

Mr Merlino said revellers were required to followed the public health advice and maintain some physical distance.

"Of course, there are times when exuberance, human nature, means that that's a bit more difficult to achieve," he said.