Lazio failed to get a shot on target over the 90 minutes.
“We threw away a great opportunity," Pioli told Rai Sport.
“We could've given the victory at San Siro even more value, but instead everyone in the team had completely the wrong approach.
“It was a bad start to the game and we wasted a golden opportunity to close up on the leading pack. I am both angry and disappointed by this performance."