Marco Borriello struck the only of the game at the San Siro.
"Analysing the game, we created a great deal in the first half without running any real risks, but after the break Milan did lose intensity all over the pitch," he said of the 1-0 result.
"It's a shame, as we had the game under control and wanted to win tonight. We should've broken the deadlock before half-time.
"Let's not forget we are still top of the table and at least three points clear, so it's nothing to be sniffed at."
Andrea Pirlo limped off in the opening 25 minutes, forcing a reshuffle of the Rossoneri midfield.
"Andrea had been playing very well up until then, but Clarence Seedorf impressed in a difficult situation when he came off the bench," continued Allegri.