AC Milan coach Gennaro Gattuso feels his team were "embarrassed" by Lazio in Wednesday's 1-0 Coppa Italia semi-final defeat.

Lazio emerged 1-0 aggregate victors thanks to Joaquin Correa's second-half strike as they secured revenge for a recent Serie A defeat and last season's cup exit to Milan.

As a result of their loss, Milan have now won just once in their past seven matches across all competitions, meaning they are at risk of missing out on Champions League qualification.

Thursday's elimination at least allows them to fully focus on keeping hold of fourth spot in Serie A, though Gattuso is well aware Milan are going through a difficult period.

"We held out well in the first half, but after half-time they had three chances and we did not move enough off the ball," Gattuso told reporters.

"We're in a difficult moment. We're struggling and we need to turn the page, because on Sunday there's another must-win game.

"We've got to try to understand why we're in this negative period. Lazio deserved to qualify [for the final]. Our fans deserved more.

"Sometimes you change just to do something different, to improve the performance, lift the team. Something isn't working and we've been struggling for the past month.

"I don't think that it is just a physical issue, but also mental and tactical, as we are performing below our potential.

"It's not an issue of systems or individuals, though the whole team has taken steps backwards. We are playing with the handbrake on and paying a price.

"We had tried to play a life-or-death game but it didn't work. There's no point denying it, we were embarrassed and have to look forward.

"Lazio were coming from a difficult period too, but we made it easier for them. We've got a month left in the season and it is our duty to give our all."