Promoted Cremonese shocked the Rossonero at the San Siro on Max Allegri's celebrated first day back.
Ambrosini told Il Corriere della Sera this morning: "It was a cold shower. It's true that there are four days left until the transfer window closes, and Leao wasn't on the pitch.
"But from what we saw in the friendlies, it seemed like the foundations of the team were there. Instead, in my opinion, not even Max could believe what he saw.
"If we consider those who left, players like Theo (Hernandez) or (Tijjani) Reijnders, we have to admit that they were top players in their positions. It would be unfair to make comparisons right now, with negotiations still a few days away.
"Let's remember that Napoli, a year ago, signed (Romelu) Lukaku and (Scott) McTominay after losing on their opening day. Objectively, the last match seemed like a continuation of last season's campaign."