Reds boss Brendan Rodgers wants the Italy international, 24, to strengthen his attack after last season's top scorer Luis Suarez joined Barcelona.
Balotelli moved to Milan for £19m from City last year and has scored 30 goals in 54 games for the Serie A club.
Liverpool travel to Etihad Stadium in their next Premier League match on Monday.
Negotiations are still taking place to agree terms with the player, but Balotelli has already said his farewells in Italy.
Milan said in a statement on their website: "Mario Balotelli left Milanello's sporting centre at 13:30 local time, after saying goodbye to his team-mates.
"Before leaving the premises, the striker has said goodbye to members of Milan's press office."