Beppe Grillo, who heads the country's second-largest party the Five Star Movement (M5S), at first praised the "Bangladeshi" Mr Khan - whose family are from Pakistan - after the Labour candidate's sweep to victory in the capital's elections on May 5.
But he has been criticised by members of the ruling centre-left Democratic Party (PD) and others for equating Mr Khan with terrorists at the end of his stand-up performance in Padua with the line: "Now I want to see when he blows himself up in front of Westminster."
Roberto Giachetti, the mayoral candidate for Rome for the PD, said he had not found the 67-year-old's joke amusing.
He quoted Mr Grillo and then wrote on Twitter: "It did not make me laugh".
Grillo, who was a comedian, political activist and blogger for years before founding M5S in 2009, made his remarks as one of his own candidates, Virginia Raggi, currently holds the lead to become the mayor of Rome.
The party's bid to present itself as a serious alternative to the PD has been undermined by the actions of Mr Grillo in the past.
Previously, he has declared his liking for Nigel Farage, appeared to compare migrants to rats and has been found to own a motor yacht and a Ferrari despite claiming to be an environmentalist.
It also recently suspended its mayor for Parma, Federico Pizzarotti, on May 13 following allegations of abuse of office.
Although Mr Grillo is not a member of the Italian parliament, the M5S has moved from a 20 percentage point gap behind prime minister Matteo Renzi's PD to an estimated five percentage point gap in just one year.
It is speculated that its rising star, 29-year-old Neapolitan Luigi Di Maio, could take over from Mr Grillo in the near future.
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