it's the fact that the handful of random people stopped by the Milan police's "routine patrol" just happened to contain the most wanted man in Europe. Pull the other one, it's got bells on.
The probability of him getting picked out of the crowd at Centrale, or Cadorna stations in Milan city centre.. fairly low. And he probably did travel via one of the big train stations in the city and successfully avoided detection.
But he was stopped at Sesto, a town in the province of Milan, not the city of Milan. Which doesn't tend to get explained in the English speaking press.
At this time of year, with a higher terror alert, in a place with something of a reputation, there are more and bigger stops for ID sweeps at stations and other places. And they do racially profile.
Having lived where he was shot, I am neither 
that he got picked out of the crowd for checking by the police. Nor am I particularly surprised that he was initially apprehended via a stop and check rather than inter European police intelligence and operations.
The point of stop and checks is not to inconvience law abiding people. It is fishing expedition for those who don't have ID , or are wanted in connection with something. They do them cos they haul in a reasonable number of "not exactly law abiding" bodies for the cost/effort involved. Sometimes they stumble across somebody wanted for something big. It's not the first time an ID sweep has ended in gunfire.