Stewards discovered them trying to create a passage under a perimeter fence using only their bare hands, but with the ground frozen, they did not get very far.
"It's true, after their final training session, our Turkish friends were caught trying to dig a way into the stadium through the frozen ground," said Schalke's director of sport Horst Heldt to Sky television.
"The stewards prevented them from doing so."
The game was a major event in Gelsenkirchen, which has a large resident Turkish population, with many Galatasaray shirts intermingled among the Royal Blue spectators.
Around 20,000 people with Turkish origin live in the city, which has a total population of 260,000.
Despite the lack of separation between the fans, no major disturbances were reported inside or around the stadium, with the local police reporting 17 arrests in total. Last night's match finished 3-2 to Galatasaray, who went through 4-3 on aggregate.