Milan have been inconsistent at the start of the new Serie A season and currently sit 10th in the table, but Oddo said that the players just need to believe.
"Right now I think the Rossoneri are lacking self-esteem," Oddo told the club's official website.
"In football, the psychology factor makes all the difference. If they had won their first three games of the season we would be seeing a completely different side right now.
"They need to play in a more relaxed manner but I understand how difficult it can be in front of the home fans, not wanting to make mistakes."
Oddo played for Milan in two spells, most recently between 2007 and 2012.