Conceicao has already led Milan to the Supercoppa Italiana and is preparing for this week's Coppa Italia semifinal against Inter Milan.
But the Rossonero risk missing Champions League qualification and Gullit told Sky Sports: "The Coppa Italia could be a satisfaction in the season, it would be important for Milan to win.
"With two trophies it might seem like a good season but for Milan it is more important to qualify for the Champions League.
"The year has been problematic, there was a small moment of glory with the victory of the Super Cup but they have not continued in the period. There are some players who have not been able to play well throughout the year and for this reason I say that it has not been very positive."