The visitors were denied the chance to take the lead in the third minute when Victor Ibarbo was found inside the box by Daniele Conti, but with the keeper off his line, he saw his effort blocked by Adil Rami.
Conti then threatened with an effort from range, but his powerful strike was hit straight at the keeper.
Soon after, Fernando Torres wasted Milan's best opening as he was found with space on the edge of the box before dragging an effort wide of the far post.
Sau came close to doubling his side's lead just past the half-hour mark when he was slipped into the box by Ibarbo and saw his strike from a tight angle blocked by the keeper.
Milan almost scored again two minutes later when the ball broke kindly to Sulley Muntari just inside the box, but the Ghanaian could only place his effort wide of the far post.
After the break, Conti was inches away from putting Cagliari back into the lead with a powerful free kick that smashed against the outside of the post.