There were reports in the Italian press that the former Manchester City striker was pulled over by the authorities, before arguing with police.
But the Rossoneri have moved to deny the claims.
“Today at Linate airport, local police conducted a routine search on the Audi used by Mario Balotelli,” a statement on their official website read.
“Contrary to what has been reported by some sources, there was no argument.
“Mario travelled at Milanello as usual to participate in this afternoon's training session.”