The gang hurled verbal insults at the AC Milan striker while he trained at the team's pre-World Cup base near Florence on Wednesday evening.
Immobile said that he was "upset" by the incident, but was quick to praise Balotelli for the way he handled it.
"In 2014, we shouldn't have to deal with racism. We have to improve as a nation. Fortunately, Mario was very calm. We will try to make appeals so these episodes do not happen again," he told reporters.
"I'm not ashamed of being Italian but I do get upset by this type of behaviour."
Italy have been placed in Group D for this summer's World Cup finals, along with England, Costa Rica and Uruguay.