Kevin Constant, who is a French-born Guinean, kicked the ball into the crowd and left the pitch after 34 minutes of Milan's match against home team Sassuolo during the Trofeo TIM tournament.
The referee allowed a substitute to replace Constant, with the stadium announcer warning spectators that the game would be suspended if further incidents occurred.
The Italian football authorities were quick to issue a statement which read: "The federation's prosecutor has opened an investigation to ascertain the extent of the racist episode which took place Tuesday evening and which saw AC Milan player Kevin Constant subjected to chants from some supporters in the stands."
But Constant's decision - seven months after team-mate Kevin-Prince Boateng walked out of a game in similar circumstances - was criticised by Milan's vice-president Adriano Galliani.
He said: "Racist chants are despicable and scandalous and they should be fought against and I want to stress that.
"But the rules are that when they happen, you should turn to the referee, who will tell the fourth official, who will advise the person responsible in the police, who is the only one authorised to suspend the game.
"There is solidarity with Constant but it is not OK to leave the pitch. I have told him, repeated it and written it to everyone: You can't leave the pitch."
Danny Lynch of anti-racism campaign group Kick It Out later spoke to Sky Sports News and urged Milan to back their player.
He said: "I hope he's getting support from the club and I'm pleased the Italian FA has opened an investigation.
"On the face of it, the incidents (involving Boateng and Constant) look very similar. There was a groundswell of support for Kevin-Prince Boateng and he was supported right from the very top of FIFA and by individuals inside and outside of football across the world.
"We'd like to see that consistent approach of support for Kevin-Prince Boateng and Kevin Constant."