他原本計劃參加比賽，但卻被俱樂部下達了 "立即停賽 "的命令。
The man was seen with the banned item in the city centre at about 12:00 BST, police said.
He had planned to attend the match but was instead issued an "immediate suspension" by the club.
In a statement, the club said in was "utterly disgusted" by the man's actions, coming just weeks after a fan in the lower section of the home Kop was struck by a flare.
Supt Gareth Crossley, of West Yorkshire Police, said: "Bradford City supporters, our visitors from Walsall and the wider communities of West Yorkshire expect to be safe and feel safe in our towns and at sporting events.
"Pyrotechnics have no place in football stadiums and the possession of flares whilst entering or in view of the pitch is a criminal offence which we will deal with robustly, seeking football banning orders alongside criminal prosecution."
A Bradford City AFC spokesperson said: "We are again utterly disgusted to discover that another individual had intentions of bringing a device to today's game.
"Given statements issued already this season, concerning misconduct on matchday and its implications, both in terms of the club's finances and reputation, it is disappointing to see this behaviour continue."
Anyone caught with pyrotechnics or smoke bombs will be banned, and those identified will be reported to the police.