Balotelli was warned about his future behaviour by City boss Roberto Mancini after he hauled the striker off for showboating in the Blues' friendly with LA Galaxy on Sunday, the final match of their United States tour.
The 20-year-old had already put City ahead with a penalty following a foul on Micah Richards when the bizarre incident occurred around the half-hour mark.
Balotelli was sent clear of the home defence, but instead of attempting to score normally, he tried a complicated pivot and backheel which resulted in the ball rolling wide.
Mancini was clearly furious and substituted Balotelli moments later before sharing a few heated words with his fellow Italian.
"I hope this is a lesson for him," Mancini said after the match, which City won 7-6 on penalties after it ended 1-1 in normal time.
"In football you always need to be professional, always serious and in this moment he wasn't professional."
Milner, who came on for Balotelli, had similar thoughts on the matter.
"I think he has shown since he has been here that he has got great potential, but he is still young and still learning," Milner told Sky Sports News.
"Hopefully he will get better and maybe learn from these sorts of experiences."
Milner would not be drawn on whether he felt Balotelli's actions had been disrespectful, but added: "Obviously we'd like him to put that in the back of the net, but Mario is Mario and he does some strange things sometimes."