With normal time finishing at 0-0, the two teams were taken to a penalty shootout with VCF emerging triumphant 5-3. Rade Krunic missed the crucial spotkick for Milan.
Fode Ballo-Toure was handed a start at left-back for Milan, with Mike Maignan between the posts.
The Rossoneri will train in Valencia on Thursday morning, before returning to Italy in the afternoon to continue preparing for the next challenge – Sunday afternoon's game in Klagenfurt against Real Madrid.
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