If you have the Marks over the series (as with a TPieSeries) and you use Series Clicked event with CalcClickedPart function to know what part of the chart was clicked, when you click on a Mark you still get the Series as the clicked object:

procedure TForm1.Chart1Click(Sender: TObject);
var
  curPoint: TPoint;
  clickedPart: TChartClickedPart;
  aSeries: TChartSeries;
  tmpString: string;
begin
  curPoint := Chart1.GetCursorPos;
  TCustomChart(Chart1).CalcClickedPart(curPoint, clickedPart);
  aSeries := clickedPart.aSeries;
  tmpString := '';
  case clickedPart.Part of
   cpSeries: tmpString := Format('Series %d, Point %d was clicked.',[aSeries.SeriesIndex, clickedPart.PointIndex]);
   cpSeriesMarks: tmpString := Format('Mark %d of series %d was clicked.',
     [clickedPart.PointIndex, aSeries.SeriesIndex]);
  end;
  caption := tmpString;
end;