Leao was speaking ahead of their Champions League tie at Bayer Leverkusen.
"It’s always a source of pride to be the captain of Milan,” Leao said. “I’ve been here for six years now. When I play with this shirt, there’s always a sense of responsibility, but when I have the armband that increases even more.
“From day one, the coach (Paulo Fonseca) didn’t talk to me about goals or assists, rather that he wanted a changed player in terms of defence, to be more focused on the defensive work.
"He is helping me to become better. Even when we were on our way here, he was showing me a couple of videos in the car. He’s someone who is helping me a lot.
“He showed me moments without the ball, the positioning to jump on second balls. More defensive things.”