The former Netherlands international turned coach felt that the Eredivisie giants were the better side of the two in Tuesday's Champions League play-off first leg, a 1-1 draw
Tim Matavz's strike on the hour mark allowed the Dutch giants to draw level after Stephan El Shaarawy opened the scoring for the visitors early in the first half.
The Eindhoven outfit missed a number of chances to take a lead to the San Siro on August 28 but Cocu was still full of praise for his side's showing against the Italian giants.
"I'm definitely satisfied by the way we've played. We've dominated the game," the former Netherlands international told reporters. "From the first minute we've put a lot of pressure on Milan. Our defence pushed forward. We have also created a lot of chances. So I'm very happy with that."
Cocu also praised the performance of Korean veteran Park Ji-Sung, who was a constant threat to the Milan defence in his first game since his return to PSV this summer.
"I know what kind of player Park is. He is the kind of player we might need during the game. That's why he was in the starting XI," the coach added.
"He has a good insight into the game and gets in the right positions on the pitch - on the wing, between the defence and sometimes even in the centre of midfield.
"He is technically gifted and is able to play together in the team. He also ensures calmness in the team."