The San Siro side have booked their ticket for the knockout stages of European club football's elite competition, but their coach feels they must do better in the future
The Rossoneri beat Anderlecht 3-1 on Wednesday to secure second spot in Group C, but Allegri was by no means satisfied with their performance in Brussels.
"We have to improve, especially on the European stage, but we are playing with the right spirit. We have to remain calmer at times," Allegri said at a press conference.
"For example, when we were 11 against 10, we should have kept our poise and waited for the right moment to hit again, not switch off like we did. It could have been very dangerous.
"We scored two goals, but suddenly we stopped playing and they brought the game to life despite being down to 10 men. Fortunately, we managed to score another in the end."
Nevertheless, Allegri was pleased with his side's qualification for the knockout stages following Wednesday's results.
He added: "Qualification is a just reward for the players, they fully deserve it. We achieved our first objective of the season with a match to spare, so the players did very well."
Milan resume domestic action on Sunday when they host Juventus.