The 27-year-old scored twice, including a remarkable solo effort, as the Rossoneri claimed a 5-4 win in their Serie A match.
"We played a good game and ran a few too many risks, as we had the initiative throughout and the four goals we conceded were a little strange. In the end it's the win that counts," Menez told Sky Sport Italia.
"The team showed courage and never let go. I am trying to do all I can and help the team. Tonight we suffered a lot too and must work on that.
"I have already changed for a few years, but people have this image of me. I feel good, this team and the Coach helped me a great deal and I am happy at Milan."
Menez joined Milan in June following the expiration of his contract at Paris Saint-Germain.