The 23-year-old AC Milan star was pictured on his Instagram account (below) staring down the barrel of the weapon aimed straight at the camera.
The photo was captioned: "Kiss to all who hate me".
AC Milan vice-president Adriano Galliani said he was frustrated by Balotelli's latest indiscretion, but was limited by what he could do in terms of players' use of social media.
"Our lawyer has always stopped me, saying that it would violate individual rights," said Galliani.
"In contracts it's written what players can and cannot do, but we can't do anything regarding their private lives. We do it vocally but that's not enough."
Balotelli, who has since deleted the image from his account, came in for severe criticism after Italy's first round World Cup exit, cutting a lost and frustrated figure as his team went down 1-0 to Uruguay.
One video posting on Instagram by an Italian fan said: "Mario, do you know what the thing is? You're not Italian, get out."
As a rare Italy international of African origin — his birth parents are Ghanaian — Balotelli stands out in an Italy shirt.
Balotelli replied to the video post and sent a link to his impassioned defence on his own Twitter page.
"I'm Mario Balotelli, I'm 23 and I didn't choose to be Italian," he said.
"Don't put all the blame only on me this time because Mario Balotelli gave everything for the national team and didn't mess up anything (from a character point of view), so look for another excuse because Mario Balotelli has a clear conscience and is ready to go forward stronger than before and with his head held high."