Inter jumped to a 2-0 lead before they collapsed after halftime to lose 3-2 in Riyadh on Monday night.
“We must first of all congratulate Milan, because they never gave up despite being two goals down,” Inzaghi told Sport Mediaset.
“On the move for 2-1, we lost a cheap ball when we should’ve been in control, then had several chances to go 3-1 up and Maignan made great saves on Carlos Augusto and Dumfries.
“Unfortunately, we then conceded for 2-2 and lost it. This is a painful defeat, but there have been painful defeats over these years and the team always got back on its feet. We go home to lick our wounds, we’ve got a few new injuries to deal with, but we have six games in 18 days, so we need to get right back on track.”
He added, "We are missing a lot of players in defence, the same ones keep having to carry the can and I can only thank them for that.
“We go home with immense disappointment, we gave all we had, but clearly at 2-0 up we should’ve controlled the situation a lot better.”