Balotelli was ticked off by the train guard who told Galliani: "You need to pull his ears. He was smoking in the bathroom," Gazzetta dello Sport reported.
Smoking is banned on Italian trains. "I want to say that we're going to fine him," Galliani told the newspaper.
Balotelli has scored seven goals in eight appearances and has managed to stay out of trouble since joining the club in January from Manchester City, where he was involved in a series of rows with manager Roberto Mancini.
Milan, third in Serie A, were away to Fiorentina on Sunday.
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