A subgraph of an edge-colored graph is rainbow if all of its edges have different colors. Let $G$ and $H$ be two graphs. The anti-Ramsey number $\ar(G, H)$ is the maximum number of colors of an edge-coloring of $G$ that does not contain a rainbow copy of $H$. In this paper, we study the anti-Ramsey numbers of $K_k$ in complete multi-partite graphs. We determine the values of the anti-Ramsey numbers of $K_k$ in complete $k$-partite graphs and in balanced complete $r$-partite graphs for $r\geq k$.