The Serie A side finished second in Group H behind Barcelona, courtesy of an edgy 0-0 draw at home against Ajax on the final matchday.
"We had to go through a lot, especially after Riccardo Montolivo was sent off," he told UEFA.com. "We had to defend and we showed great character. Today it was difficult to score and the only way to get the result was to defend well.
"It depends from game to game, but today we were forced to defend with 10 men - we are a good group and we are showing it in every game. It was a very good duel today. Other Italian teams could have progressed, I am sorry for them, but I am happy for us. We have done well in Europe but now we must do well in the domestic league."
In Serie A, Milan have struggled so far and find themselves in ninth.