Supporters also unfurled banners at the gates of the Formello base in the Rome suburbs, blasting the current team's performances as well as club president Claudio Lotito.
“You want to drown in the shit, but first we will make you eat it” read one while another said: “Lotito: Since you eat everything, eat this too.”
Lazio are currently 12th in Serie A after a terrible run of five defeats and one draw.
Last week, fans of city rivals Roma also staged a bizarre protest by presenting the players with carrots.
A banner helped to explain the coded meaning of the unusual gift: “Bon Appetit Rabbits,” it read. In Italian, the word for rabbit, “coniglio”, is synonymous with coward.