Kids outside the Coverciano complex were responsible for the chants, and Balotelli appeared visibly disturbed.
The training session was open to media, and Balotelli could be heard saying as he ran by reporters, "Only in Rome and Florence are they that stupid."
While most of the fans cheered for Balotelli, police approached the area where the chants came from and they quickly ended.
Balotelli was born in Sicily to Ghanaian immigrants and brought up by an Italian foster family. He has faced racist chants throughout his professional career.
"It's unbelievable that in 2014 we still have this form of racism," Balotelli's fellow forward, Ciro Immobile, said. "It's not great for the nation. We represent Italy."
Immobile, from the Naples area, noted how insulting anti-Naples chants have pervaded Serie A stadiums recently.
"When I hear that it saddens me, because I have a lot of pride in my city," Immobile said.
Balotelli was also the focus of much speculation on racist abuse before the 2012 European Championship, and UEFA placed spotters inside stadiums, resulting in fan behaviour by Spain and Croatia being sanctioned.
FIFA claims it will have zero tolerance for racism at the World Cup but has not announced plans yet on how it will control behaviour inside stadiums.