Suso missed his spotkick as Milan fell 2-1.
"We can't just read the result and assume everything from there, as in the last 15 minutes we created so many chances and objectively should've at least equalised," Montella told Mediaset Premium.
“We lack determination in our finishing and the final ball. The team did what it was supposed to do, but you win games like this with that extra bit of determination in the box.
“I am disappointed by the result, but the lads tried to the very end to turn it around. In the first 20 minutes, we had about six shots on target, five of them from the edge of the box. Then we lost intensity.
“The team improved after the break. We can do more, but today the team did have some good things. It's just a shame about the result."
Montella added: “Milan are having a season that is in line with expectations. The race for Europe will be decided in the final round, we can't get downhearted after this defeat and I don't think it will ultimately make much difference."