The 43-year-old is pleased with his team's reaction after coming back from behind in an enthralling Coppa Italia semi-final first-leg at the San Siro
Zlatan Ibrahimovic put the hosts ahead before the Sicilians turned the tables to go 2-1 up after Javier Pastore and Abel Hernandez struck for the visitors.
But, Urby Emanuelson equalised to leave the affair delicately poised ahead of the return in Palermo on May 10.
"We started well and took a lead, but then we allowed them to draw," he explained to Rai.
"After Palermo created problems on the break and we risked conceding a third goal, but it's important that we didn't lose to keep the competition open.
"Now we have to focus on league, but we will go there looking for the final in Palermo."
The Rossoneri's defence appeared laboured during the match, but Allegri feels they coped well. He also defended Antonio Cassano who had an average display.
"They had a good game as Palermo have quality and it was not easy for them," he added.
"Cassano did good things, but what's important is that we didn't lose and now we have to go there [to Palermo] in good condition for the return leg."