"The coach stays in his job and has to try and make sure that the team puts points on the table and find the right solutions to get us out of this situation," he told Milan Channel.
"There's no desire whatsoever to change the coach. It's a tough moment and we need the strength to stay calm and get over this moment that we're in.
"We're getting no luck whatsoever at the moment but things will change. We keep going."
Allegri admitted after the defeat to Lazio that Milan face the "risk" of being entangled in a relegation dogfight if results do not improve.