The Hoops were beaten 2-0 by the Rossoneri in their opening Champions League fixture at the San Siro with Cristian Zapata and Sulley Muntari netting late for the home side.
Celtic were dominant for large portions of the 90 minutes but were unable to come up with a goal in what has been labelled a missed opportunity by Lennon.
"We dominated the game for long periods and I just said to the players in there, 'When you're on top, you've got to take your chances'," he told Sky Sports.
"Anything can happen - a ricochet or deflection and that's what happened. They didn't deserve it but sometimes you don't get what you deserve in football.
"I thought we were brilliant. I thought we started off a little bit nervous but after about 15, 20 minutes we took the game to them.
"Certainly in the second half, I couldn't see Milan scoring early - the goalie (Fraser Forster) had nothing to do.
"I didn't see the incident for the free-kick for the second goal so I can't really comment on that, but we played very well and it's very disappointing to come away with nothing."