De Sciglio was disappointed with their 1-1 draw against Inter Milan on the weekend.
He said: "There are teams like Lazio and Fiorentina that will fight [with Milan] for third place. There are a lot of games to go, but we have to remain focused and try to get as many points as possible.
"Now we play Lazio - and we have to win because it's a game against a direct rival.
"However, if we play like we have done in the last few games, then I'm confident we can bring home the victory."