The 23-year-old scored a second-half winner for Cesare Prandelli's men as they defeated the Three Lions to get their campaign off to the perfect start.
Balotelli told reporters: "This game was very difficult for the climate and because England is strong: Italy suffers more, this is typical of our national team, but the important thing is to win and we did.
"We do not fear anyone. The others who must fear even Italy.
"But we must only think about Costa Rica, but we have to be quiet because otherwise we're not going anywhere."
Italy face Costa Rica in their next match on Thursday.