Allegri left the 20-year-old on the bench for their Serie A clash at the San Siro because he felt that the Italy international needed a rest.
"It was a decision taken by the coach and I fully respect it, like I have always respected substitutions in the past," El Shaarawy told Milan Channel.
"He has given me lots of confidence and shown a lot of belief in me, so there is no problem whatsoever. I respect his choices and, in the game against Napoli, he preferred to start with Robinho.
"There is no problem between the coach and me, we have a good relationship and we always have had. I am relaxed, I have done well until now and I just want to keep improving."
Milan drew the game 1-1 with Napoli.