Italy international Immobile overtook Silvio Piola by netting his 160th goal in all competitions for the club in the second half of the Europa League clash at the Stade Velodrome.
The striker pounced on an error from William Saliba and curled a fine finish beyond Pau Lopez in the 49th minute, though Dimitri Payet's late intervention ensured it was not the winner.
Immobile joined Lazio in 2016 and reached the milestone in his 233rd appearance for the club, with the majority of his goals being scored with his right foot (125).
More than a quarter (44) have come from the penalty spot, while he has only found the back of the net from outside the box eight times.