"I would never, ever have believed a documentary would win Venice film festival," said an emotional Rosi, who won the top prize out of 20 films in competition with his tale, which peered into houses, workplaces and gardens.
The director said he had spent years preparing and researching for the film and thanked "the characters for allowing me into their lives."
"Holy GRA" was one of an unprecedented two documentaries in the running for the Lion, and Rosi said it had been a "huge act of courage" to let them compete.
With simple, pared-down shots, the film quietly reveals the vast range of personalities living in tower blocks or country houses under airport flight paths.
"I wanted to be surprised and Rosi's film was surprising. It was a unanimous choice," said jury head, Italian cinematic master Bernardo Bertolucci.
"Like a one-man orchestra, Rosi managed to reveal these characters to us within this ring road which circles Rome like a ring around Saturn.
The best actor prize went to Greece's Themis Panou for his role as father to a family which harbours a deep secret in Alexandros Avranas's "Miss Violence".
Avranas was awarded the Silver Lion award for best director for the film, which shocked audiences with a chilling tale of incest and child suicide.
The award for best actress was picked up by Elena Cotta for her portrayal of a stubborn old lady in southern Italy who refuses to back down from a staring feud in Emma Dante's "A Street in Palermo."
