Gazza, a notorious prankster in the football world, claims that he found a snake and put it in the now-Chelsea manager's pocket after "whacking it until it went comatose".
The midfielder then asked Di Matteo to lend him some cash, causing him to discover the unwanted intruder.
"You've never seen someone jump out of their skin so quick!" said Gascoigne.
Gascoigne played for Lazio between 1992 and 1995 before returning to Britain to play for Rangers.