The Rossoneri stumbled at home in their Serie A opener thanks to a goal from Andrea Costa, which did little to ease the growing frustration surrounding the San Siro.
However, Allegri believes that, on another day, his team would have emerged victorious and said that they must take positives from the performance.
"It's one of those games where they score on a corner and then moments later in a similar situation we hit the post," said Allegri. "At the start of the season teams can win a game with one shot on goal.
"Of course we have to improve and the result was negative, but we were unlucky today and the lads played with heart, especially at the end. We hit the woodwork, forced goalline clearances and saves. I cannot ask for anything more from my players at the moment.
"There's no point acting like victims now and we must instead restart from the good things seen. The performance showed there are quality players in this side, but there are always going to be difficulties at the start and we need calm to grow slowly."
Milan travel to Bologna next Saturday.