The Azzurri, champions in 2006, were sent packing from the competition for the second time in a row in the group stage after a 1-0 defeat to Uruguay.
Balotelli started against the Uruguayans but was substituted at half-time by coach Cesare Prandelli.
The AC Milan striker, using his Instagram account, said: “I am Mario Balotelli, I’m 23 and I haven’t chosen to be Italian.
“I’ve really wanted to be because I was born in Italy and I’ve always lived in Italy.
“I was really looking forward to this World Cup and I’m saddened, angry and disappointed with myself.
“Perhaps I could have scored against Costa Rica, yes you (the fans) were right but then? What’s the problem then?”
Balotelli scored the winning goal for Italy in their tournament-opening 2-1 triumph over England but the Azzurri suffered 1-0 defeats to Costa Rica and Uruguay.
“The fault,” the striker continued, “I’m not going to bring it down on me just this time because Mario Balotelli has given everything to the national team and has not made a mistake (from a character standpoint).
“So find another excuse somewhere else because Mario Balotelli has a clear conscience and is ready to move on stronger than ever.
“I am proud to have given everything for my country.”
Balotelli has on numerous occasions in his career been the target of racist taunts.
The 23-year-old referred to his African heritage in his message.
“Perhaps, as some of you say, I’m not really Italian,” he said. “The Africans wouldn’t have blamed one of their brothers. Never. In this, we black, as you call us, we are light years ahead of you.
“Disgrace is not one that misses a goal or runs less or more. Disgraceful are these things (unfair criticism).”