Igor Paixao forced home Feyenoord's winner as they took a 1-0 aggregate lead in this round 16 playoff tie.
Leao said afterwards: “We did not have the same grit and aggression that Feyenoord did.
“We were not up to the level of this match. I too had an opportunity in the first half that I was unable to make the most of.
“Now we have to go home, rest and see what we didn’t do right today. The second leg is at San Siro in front of our fans, while Feyenoord are really helped by the home crowd. It was not a good performance, we’ve got to study what went wrong.”
He also said, “There are no excuses, we needed to be as aggressive as them and win all the duels.
“Now the game is over, we’ve got to do better the next time. We must have the right attitude for an important Champions League tie, which we did not do today.
“If we do that, with the quality we’ve got in the side, we will win the match.”