Constant walked off the pitch during a pre-season match with Sassuolo in Reggio Emilia.
Guinea international Constant, 26, was preparing to take a throw-in during the first half of the TIM Trophy match at the Stadio del Tricolore on Tuesday night when, seemingly in response to racist insults from the crowd, he angrily kicked the ball high into the stands before walking off.
The incident comes seven months after Milan midfielder Kevin-Prince Boateng also left the field in almost identical fashion after being the victim of racist abuse during a friendly against fourth-tier side Pro Patria.
On that occasion the Ghana midfielder was followed off by the rest of the Milan side and the match was abandoned.
Tuesday night's game continued, with Milan substituting Constant before going on to lose to newly-promoted Serie A side Sassuolo 2-1.
The Italian football federation (FIGC) today announced in a statement it was looking into the incident involving Constant.
It read: "The Federal Prosecutor's Office has opened an investigation to ascertain the extent of the racist incident that took place yesterday evening at the Stadio del Tricolore in Reggio Emilia during the Milan-Sassuolo match (Trofeo TIM), which saw AC Milan player Kevin Constant the subject of chants from some supporters in the stands."