Gazza was a star with both clubs.
"I thought that it was an obligation of ours to remember a great champion," he told Radio Lazio Style. "He is part of our history and impressed everyone whilst he was here with his determination, character and great play.
"Gascoigne is still in the hearts of many fans and I want to remind our younger supporters how much this club is prepared to represent this past and the values of the club.
"It has been very difficult, but I've finally got Gascoigne to come back. His affection for Lazio has never ceased."