Despite surrendering a two-goal advantage, the Rossoneri scored late on to secure all three points, inspired by veteran goalkeeper Christian Abbiati.
Speaking to reporters after the Champions League victory, Allegri stated: "It’s an important victory, but I am convinced this group will only be decided at the very end.
"I have to praise the lads, as we kept looking for the win throughout the match.”
Stephan El Shaarawy's fantastic solo effort was the pick of the goals, although Milan's man-of-the-match was their 35-year-old shot-stopper Abbiati, who pulled off a series of world-class saves to ensure victory.
"Abbiati made some great saves both in the first and second half," explained Allegri.
"He is an excellent goalkeeper who in my two years here at Milan has done great things.
"Everyone makes mistakes sometimes, but a goalkeeping error is always highlighted more than any other."
Despite a slow start to the season, Allegri's side are beginning to show their potential and they are now unbeaten in three matches. Allegri hopes that his side can continue their good form heading into Sunday's mouthwatering derby clash against Inter.
"We should avoid conceding goals on set plays. We are going into the derby with a good victory, but we know that it is a one-off match and we’ll play it to the best of our abilities."