Pato scored the winning goal and has been heavily linked with a 45m move to Paris Saint-Germain.
"Pato has to stay," Gattuso said on Milan Channel. "The club and Coach said it, so I'm confirming the message. He is a player with such a strong goal average and people always expect something more because he's capable of it.
"In order to retain the Scudetto we have to rediscover that solidity that we occasionally lacked."