Pato scored twice before pulling up with a suspected thigh strain during Milan's 3-1 win over Atalanta.
“At the moment we are quite worried about him, but perhaps it's not all that serious. We hope for the best,” said the Coach.
There are now concerns Pato will not make the Champions League second-leg clash at Manchester United.
Leonardo added: “Today we had our problems and were unable to start with the right tempo, but this has been a very stressful few weeks for the team.
“We were intelligent in hitting them at the right moment and then pushing up the field for the rest of the game.”