Earlier, PAOK fans set off firecrackers and flares at Gelsenkirchen's train station and two of them were detained, according to the police.
Greece has a long-running dispute with Macedonia over the former Yugoslav republic's name and says only its northern province can be called by that name.
Some Schalke fan groups have a friendly relationship with supporters of the Macedonian club Vardar Skopje.
Wednesday's match ended in a 1-1 draw. PAOK fans were banned from three home UEFA matches in Thessaloniki because of clashes with supporters of Rapid Vienna during a Europa League match last season.
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