On a day when the Demons saw their faint finals hopes drain away with a loss to Hawthorn, Davey added injury to insult when he was assisted from the ground in the second quarter.
Davey will undergo scans on the leg but the early fears are for a fractured fibula.
It was a crucial loss for Melbourne, which headed the Hawks midway through the third quarter but ultimately could not hang on and fell to a 21-point loss.
Davey, one of Melbourne's most potent weapons, had played every game in the season and was an impetus for the Dees' resurgence in 2010.
