An ABC staff member purchased the pork dumplings last night.
Councillor Krista Adams said council food safety officers believe the roaches were in the packaging which has since been replaced.
"We take it very seriously when we get these reports," she said.
"We'll go in and investigate what the actual situation is.
"We don't like to shut down businesses straight away but we do make sure we do a thorough investigation and we won't hesitate to shut them down if there's any major concerns.
"I'm unaware yet whether council has received the information that it requires, but we can go on site and go and have a talk to the organisers and see what the situation is and see what the actual standards are."
A spokesperson for the noodle markets said it was the first time this had happened.
"In all our years of running great food markets around the country, this is the first time one of our stallholders has had an issue like this," the spokesperson said.
"We work with the best restaurants, serving great food in a fun environment — no-one wants unannounced bugs in their food and it's not something we want to happen at our markets.
"We and the appropriate authorities will be talking to the stall holder concerned."
Source: 612 ABC Brisbane