Bruni, who won silver in the 10km swim in Rio on Monday, dedicated her medal to her family, her coach and her girlfriend Diletta Faina.
Italian media and gay rights groups said it was a landmark moment for a country which has been slower to recognise same sex relationships than other Western states.
La Reppublica reported that Bruni was the first Italian sportsman or woman to acknowledge her sexuality, although it is possible other sports figures may have come out to friends and family without attracting media coverage.
Bruni, 25, said her statement had not been a planned coming out.
"I've always lived my sexuality naturally, without any anxiety," she told La Reppublica.
"There was never any need for me to come out. My friends, my relatives, my swimming teammates, everyone knew. There was no need to put up posters."
Gabriele Piazzoni, the leader of Italy's biggest gay rights group Arcigay, said Bruni's message to her girlfriend had "incredible force".
"In sporting and media terms it is very, very important," he said. "We are beginning to see the fruits of years of battle..."
Piazzoni said he hoped Bruni's example would help break down taboos in the country's biggest sport, football.
"It is not credible that there are no gay Italian footballers. The next objective has to be to break down the wall of fear in football, which millions of kids play in what should be an inclusive environment."
Legislation allowing gay civil unions in Italy only took effect last month, making the country the last in Western Europe to legally recognise same-sex relationships.