At one stage 4-2 ahead, the Azzurri managed to escape with the points after winning 5-4 on Tuesday.
Afterwards, a relieved Gattuso declared: "We're crazy; we conceded some absurd goals, but we'll hold on to the win. We're too fragile, we concede too easily: the lads know it, but the problem is mine, not theirs. To play as a unit, we need to improve in some ways.
"It's the craziest match I've been coaching. We were crazy to press the ball when it was 4-2."
On the positives from the night, Gattuso also said: "I expect a vibrant team. They didn't give up after conceding and did what they had to. They surprised us, they came man for man.
"We can't lack solidity, but that's something I need to fix. These players follow their references, and we want to try to do different things. It was a truly crazy match, but we put our heart and soul into it."