“I’m just here to observe — just another citizen,” Penn told reporters.
“I think we all saw what happened on January 6 and now we’re looking to see if justice comes on the other side of it.”
Penn, 61, has previously spoken out about the riots at the US Capitol as lawmakers were certifying the 2020 election results.
On the day of the assault, he wrote on Twitter: “Hell hath no fury like a narcissist scorned.”
Mr Fanone was on duty on January 6, and was dragged into a mob and badly beaten during the riots.
He resigned from the Capitol Police force in December 2021, and has since joined CNN as a contributor.
Penn, a two-time Best Actor Oscar winner, has frequently thrown himself into social justice causes, notably in Haiti after the devastating earthquake there in 2010.
In April, he travelled to Ukraine and said he was considering “taking up arms against Russia”.