Daniel Boria, 26, told police he was planning on parachuting into the Calgary Stampede, a rodeo event, to promote his cleaning-products company.
Mr Boria said he "somersaulted out the chair" and parachuted down to safety after the balloons took him too high.
The whereabouts of the garden chair are unknown, police chief Kyle Grant said.
Mr Boria injured his ankle after landing in a field just outside the city on Sunday but no one else was hurt. He was detained after receiving medical attention.
"I was sitting in a lawn chair looking down through the clouds at 747 airplanes and looking up to a cluster of helium balloons," Mr Boria told the Toronto Star.
"I rose to a certain altitude and the winds got pretty intense. I was somersaulting out the chair and it felt like minus 30. I watched below as the stampede and my dream drifted away."
