On Saturday Milan fought back from 2-0 down to draw 2-2 away to Napoli and Mexes hopes that can fire up the side.
"We showed a great reaction in Naples and that gave us a lot of confidence. We need points in Serie A, but have proved we've got strength and do not deserve to be in that position.
"The Champions League is a different tournament entirely and we are in a very balanced group. Anderlecht have shown they've got quality, but we will all fight together to get through to the next round.
"Things are not going the way they should. We lacked some good fortune, but also make individual mistakes. The only way out of this is to stay united and work together in the same direction."