AC Milan manager Sinisa Mihajlovic was glad to see his side defeat Palermo 3-2 in Serie A on Sunday but warned his players they must improve when it comes to killing their opponents off.

Two goals from Carlos Bacca and an impressive free-kick from Giacomo Bonaventura lit up San Siro, but the match was not as easy as it could have been after the visitor equalised twice through Oscar Hiljemark and threatened to equalise with a late flurry.

Mihajlovic felt his side was deserving of the three points after a positive attacking performance, but urged it to take more control of games to ensure it doesn't fall victim to similar dramatic comebacks.

"I am pleased with the result and for our overall performance I think we deserved this win," Mihajlovic said. "However, I got the impression we became complacent each time we took the lead.

"We gifted them two goals and conceded them in silly fashion. We must not try to manage the game. Instead, we must be more determined and finish off matches.

"If we had not collected the points we had hoped to it would have been our own fault, as we once again looked like we were scared to win. We did well and dictated the play, even if we then made it hard for ourselves. 

"We need to improve on this and it is important that we don't stop playing. We cannot leave the result hanging in the balance even though wasn't easy today against an organised Palermo side with some good players. 

"There were chances created for us in both the first and second half. In the second half perhaps we were not as compact and maybe we should have believed more. 

"We have to learn that there are moments when you have to sit on your lead, but not when the opposing side is in difficulty - in those situations you need to put the result beyond all doubt."

The dramatic win left Milan has six points from its opening four league games. iT next faces struggling Udinese in an away fixture on Wednesday (AEST).