The German side progressed to the last 16 of the competition with a 1-1 draw in Italy after winning 3-2 last week.
Chelsea loanee Batshuayi scored twice in the first leg but didn't find the net in the reverse encounter.
A Twitter user messaged the Belgian striker to ask him if he had been abused by the home support.
"Was that Atalanta fans making monkey noises at @ mbatshuayi ??", before the Belgian replied "Yep lol".