They were trailing at San Siro in this Champions League opener until the 85th minute, but two goals in seven minutes from Icardi and Matias Vecino turned it around.
“Everyone was in the box but I stayed out," Icardi said, explaining his goal to Sky Italia.
“[Kwadwo] Asamoah sent a fantastic ball over and it ended well. It was a spectacular afternoon, and we did what we needed to do.
“We know we're a strong team and that we can compete against anyone, we've been waiting for this match for three months and it gives us a lot of strength for the league.
“A match like that, in the Champions League, gives you so much but one game means nothing. We have to stay calm, take the good things we've done and go to play on Saturday with a different mentality.
“The environment was ugly in these past few weeks, but a game like this gives us confidence. Vecino has popped up like that for two crucial wins, but what's most important is for Inter to win."