Lazio accused the media of a "simplistic tendency" to blame all their fans for instances of racism and fascism after incidents in the Coppa Italia semi-final win at AC Milan.
Some Lazio fans held a banner honouring former fascist leader Benito Mussolini near the city's Piazzale Loreto.
There was also racist abuse aimed at Milan's Tiemoue Bakayoko and Franck Kessie at the San Siro.
Lazio said they distanced themselves from "behaviour and demonstrations".
The club added in a statement: "Lazio reject and contest the simplistic tendency of the media to consider the entire Lazio fanbase responsible for the actions of a few isolated elements, for motivation that has nothing to do with passion for sport.
"The club has always fought for the respect of law and fairness in behaviour."
Joaquin Correa's 58th-minute goal secured a 1-0 win for Lazio in the second leg - and 1-0 on aggregate.
The Serie A game between Milan and Lazio at the San Siro earlier this month finished with the home side winning 1-0, with both Bakayoko and Kessie holding up Lazio defender Francesco Acerbi's shirt like a trophy after the final whistle.
They were fined a total of 86,000 euros (£74,350) for the incident.
Earlier this month, Juventus teenager Moise Kean was racially abused in a game at Cagliari, with his team-mate Leonardo Bonucci widely condemned for then saying it was partly the striker's fault.
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