The decree issued Sunday forbids supporters of the Serie A side from travelling to Marseille for Thursday’s fixture at the Velodrome in the French south coast port city.
The ban mirrors one put in place by the Italian authorities preventing Marseille’s fans from attending the first leg in Rome on October 21.
The French Interior Minister Gerald Darmanin justified the ban because of repeated “violent behaviour” of Lazio supporters and their frequent use of fascist chants and Nazi salutes.
The Serie A club called for an explanation from “the French authorities”.
“Lazio cannot accept a gratuitous insult against all its supporters and against the club itself which has always campaigned against violent behaviour and all forms of discrimination in and outside stadiums,” the club said in a statement.