On 7 June 2011, with his contract about to expire, Klose did not reach an agreement with Bayern, thus leaving the club at the end of the 2010–11 season. He had scored one Bundesliga goal in 20 matches in his final season.
Klose signed a three-year contract with Italian Serie A club Lazio on 9 June 2011. He scored his first goal for Lazio in the 2012–13 UEFA Europa League play-offs and also assisted four other goals. Lazio won that match 6–0 and won the play-off 9–1 on aggregate against Rabotnički. On 9 September 2011, he made his Serie A debut in a 2–2 draw against Milan and scored a goal in the 12th minute, which was the first Serie A goal of the season. Despite having been at the club for only a few months, Lazio coach Edoardo Reja underlined his importance to the team. On 16 October 2011, Klose scored in the 93rd minute to win the Rome derby against Roma for Lazio, 2–1. However, the occasion was tainted by a small section of radical Lazio fans holding a sign adapted from a motto used by the Nazis. The sign read "Klose Mit Uns", which means "Klose with us". It was intended by those fans as praise for Klose, however the Nazis used the motto "God with us" and the Lazio fans' sign featured the S's in the same font as the logo of Adolf Hitler's Schutzstaffel (SS). Klose had explicitly condemned the sign, saying, "[P]olitics should stay out of the stadium."
On 10 December 2011, Klose scored twice and assisted one for Lazio in an away game against Lecce, including an 87-minute goal that gave Lazio a 3–2 victory.