Mathieu Flamini thinks Milan got scant reward for their efforts against Zenit, losing 1-0 in a game the Frenchman says they dominated.
Milan, in front of watching president Silvio Berlusconi, went down to Danny's 35th minute goal as they qualified second in Group C behind Malaga.
But Flamini thinks Milan deserved more: "We took the initiative and created many scoring opportunities. They defended well and didn't allow us anything," he said.
"The president told us this was an important game and we wanted to win, but were unable to do so. We are disappointed because we dominated the game and instead they punished us with their only first half chance.
"After the goal they clammed up and we couldn't find the space to score despite so many efforts."
Milan captain Massimo Ambrosini agreed with Flamini that defeat was not what Milan deserved for their domination: "We put the effort in and played better than Zenit," he said.
"The first half was better than the second, where we didn't create much and were a bit chaotic.
"It's a shame, as the president wanted us to win – as we all did – but we had the right spirit. We talked about the right attitude to take on the field and what we are asked to do is play football.
"Many teams in the Champions League find the second round tougher than the quarter-finals or semi-finals. We are a team in an evolutionary process, but have to at least improve the basics."