Milan won 2-1 through goals from Hakan Calhanoglu and Jack Bonaventura on Sunday.
“We found ourselves in front of the goalkeeper four or five times, so should've scored more," Gattuso told Mediaset Premium.
“We were coming off a bad defeat and a difficult week. These were not good days in training. There are regrets that we didn't take more of our chances, but it's something we have to work on and we knew that already.
“All we can do is keep creating the chances and sooner or later the strikers will put them in the net. We do get into the right positions and have to practice our shooting. If you don't take your opportunities and kill off the game, the opponents can get back into it.
“We saw against Benevento what we are capable of doing, in a negative way. We've got to get back on our feet and some players are struggling physically. We've got Verona next, then the Coppa Italia Final with Juventus and then Atalanta. We can't drop points.
“This squad and club has been struggling for two to three years now. Today, other than Cristian Zapata, Leonardo Bonucci, Jack Bonaventura and Ricardo Rodriguez, they were all young players. We've got the foundations to do well in future and gain experience.
“If you look back over the results, even over the last four or five years, we've struggled against the smaller clubs. When we play against the giants of the game, we don't let them have a shot on target, so that means it's an issue of mentality. It's not a coincidence."