Fans were out in force to greet Gazza, who was invited to the stadium by President Claudio Lotito.
Gascoigne was given a lap of honour to salute the supporters of both clubs ahead of the Europa League fixture.
The Biancocelesti banner read: 'Lionhearted, headstrong, pure talent, real man... Still our hero! Welcome back Gazza.'
After the 0-0 draw, Lazio coach Vladimir Petkovic said: "It was wonderful to see so much enthusiasm.
"You can tell that Gazza brought so many emotions to these people that they remained intact even after all these years. I compliment Gazza, but above all this crowd."