The new piece, near Kew Bridge in Richmond, shows the animal's silhouette with rocks falling down below it and a CCTV camera pointed at it.
Banksy seemingly claimed responsibility for the artwork by posting an image of it on Instagram.
It comes after a migrant boat created by the artist was crowdsurfed during Idles' and Little Simz's Glastonbury sets in June.
Following criticism from then-home secretary James Cleverly, Banksy said the reaction to the piece was "a bit over the top."