Anecdotal evidence, full disclosure, I was not actually at said event. (http://denver.sbnation.com/2010/9/29/1719713/ufc-mma-wec-51-broomfield-colorado)
However, my boss and a coworker whom I see on a daily basis were at the event, and what they told me was not pretty.
According to them, Carmelo, Birdman, Harrington and possibly other Nuggets were at the event in the front row watching the match. At one point, the stadium camera showed Carmelo Anthony sitting ringside with Birdman and Harrington next to him - and according to my coworkers, he was greeted with a cascade of boos. Later, someone started the above chant of "F***-You-Me-Lo", shortly after which (my coworkers reported) he got up and left.
Obviously, it's difficult to verify the accuracy of this happening having not been there, but I can see no reason to NOT believe them.
But Denver fans need to grow up. For as much shit and flak Melo has taken since all trade talk this started, he's always maintained that he's never asked for a trade. I understand that in his inner circles that is likely not the case, but it makes me ashamed of my city's fans - even considering that it's an MMA crowd - that they'd be so crude as to chant that when he's out with his teammates at an event.