He said he had been looking forward to the milkshake, "but I think it went on a better purpose."
Farage blamed the attack on those who wanted to remain in the EU. He tweeted that "Sadly some remainers have become radicalised, to the extent that normal campaigning is becoming impossible."
Farage's Brexit Party is leading opinion polls in the contest for 73 UK seats in the 751-seat European Parliament.
Milkshakes have become an unlikely political weapon in Britain. Other right-wing candidates including far-right activist Tommy Robinson have also been pelted with milkshakes during the election campaign.
Last week a McDonald's in Edinburgh, Scotland said it had been told by police not to sell milkshakes during a Brexit Party rally.
In response, Burger King tweeted: "Dear people of Scotland. We're selling milkshakes all weekend. Have fun. Love BK."
- AP