Gennaro Gattuso blamed himself and his players after Milan were eliminated from the Europa League at the group stage with defeat to Olympiacos on Thursday.
Milan would have advanced to the knockout stages with a win, a draw, or a one goal defeat, but they were terrible in Piraeus and their Greek hosts deservedly advanced with a 3-1 victory.
The Rossoneri created plenty of chances but failed to force José Sá into many difficult saves, and Gattuso admitted that his side deserved to lose for showing such profligacy in front of goal.
"There's a lot of disappointment, but it's our fault," he said bluntly, quoted by Gianluca Di Marzio.
"We have disappointed millions of Milan fans and we must not forget it. We can talk about it and discuss it for hours, but when you create eight chances in a stadium like that and then show such naivety, I think it's right that you go out."
Olympiacos' third goal came from a penalty, which was given by referee Benoit Bastien after he spotted Ignazio Abate holding Vasilis Torosidis' shirt in the box.
Torosidis may have gone down a bit easily, but Gattuso admitted that it was naive of Abate to give the referee a decision to make.
"Yes, the referee has penalised us, but let's look at ourselves: from my side and the players, we have to use our heads a lot more," said Gattuso.
"We make stupid mistakes. We spend hours and hours practising for set pieces and I see incredible naivety."
This is the first time Milan have failed to qualify from a European group stage since the 2000/01 Champions League.