Inter jumped to a 2-0 lead before collapsing after half-time to lose 3-2 in Riyadh on Monday evening.
“First of all we have to congratulate Milan because they never gave up even though they were two goals behind,” Inzaghi told Sport Mediaset.
“On the way to 2-1 we lost a cheap ball when we should have been in control, then we had several chances to get to 3-1 and Maignan made great saves from Carlos Augusto and Dumfries.
“Unfortunately we then conceded 2-2 and lost. This is a painful defeat, but there have been painful defeats in recent years and the team always got back on its feet. “We're going home to lick our wounds, we've got a few new injuries to deal with, but we've got six games in 18 days so we need to get back on track.”
He added: “We are missing a lot of players in defence, the same players have to carry the can all the time and I can only thank them for that.
“We go home with a huge disappointment. We gave everything we had, but with a 2-0 lead we clearly should have controlled the situation much better.”
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