Inzaghi succeeded the sacked Clarence Seedorf last month.
"Last season was a disappointment," Nesta told Milan Channel. "Big things were expected and then there was a decline that I don't think many of us saw coming.
"There was just no continuity. I think Milan have changed a lot from before. For years we had an experienced group.
"But a lot of that old guard has gone, and now we have a new core.
"Inzaghi brings a lot of excitement. But we need results and to get back to winning ways.
"I don't really have much advice for him or the club."
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