The 21-year-old was shopping in Manchester’s Trafford Centre with a group of friends and was asked to take remove the hoodie from his head.
However the Italian refused, claiming it was an attempt to protect him from people recognising him, leading to a member of the centre's security team asking for him to leave.
The former Inter man recently hit the headlines for spending time at a strip club, but Balotelli has defended his actions.
"I didn't do anything wrong at the [strip] club," he told Gazzetta dello Sport. "But I understand that if she [his girlfriend Raffaella Fico] had gone with her friends to a strip club, I would have been very angry.
"If you love a woman, you can avoid causing that pain. That was my first mistake. The second was to go two days before a game."
When quizzed as to whether Roberto Mancini has handed him £250,000 fine for breaking the curfew, he responded: "I still don't know. I must talk with Mancini."
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