The Portuguese said that away goals are vital in Europe, so his side will be trying to score at least once at the San Siro.
"This is a top European club and a difficult stadium to come to," he told the club's official website.
"We don't have to warn the players against complacency because they know the task ahead.
"It would be negative from us to set up defensively. We need to try to score a very important away goal. We've done that a lot of times since the start of the season and if we do it again, it puts us in a comfortable position."
A place in the Europa League quarter-finals is up for grabs.