Then-Spurs boss Redknapp called together his coaching staff at half-time - and bringing off winger Bale as part of an attempt to shore up the Londoners' defence was suggested.
But the Welshman stayed on and scored three amazing goals which launched him on the road to superstardom.
In a new ITV4 documentary about Bale, Redknapp said: "You know [the thought was], do you take damage limitation, come away getting beat 4-0 or do you have a go?
"I decided that day that I was going to leave Gareth on and leave some attacking players on. I felt we had not a lot to lose, except a bit of pride, maybe.
"What he did in Milan, that wasn't a shock. I watched him do that every day in training - absolutely murder people and score goals.
"He was doing that week in, week out ripping teams to pieces, running down the left-hand touch line 50 yards, crossing balls for people to score, weighing in with quite a few goals as well."
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