Romelu Lukaku and Khvicha Kvaratskhelia struck the goals for Napoli's 2-0 win at San Siro stadium on Tuesday night.
Milan striker Morata later said: "Football is like this: we have to be positive. We had good moments against the top team in the league. But we have to take the positives: we played a great game in terms of intensity and strength.
"They are used to having more chances, but today they had two shots and two goals. Tomorrow we have to get back together and work to win.
"There are things that don't work... It's not just bad luck, but we need to get back to work, looking at what we did well and what we didn't. Football is like that.
"I'm very proud of everyone's performance: we showed intensity and the desire to win. We conceded two goals on two details. We need to be ready. I'm very proud, not happy. But we gave it our all. We need to look at the positives. We understand the games better, we understand our possibilities better."