Lazio fought back from a goal down, with Taty Castellanos and Boulaye Dia scoring, before Rafael Leao found an equaliser for Milan.
Baroni said: “The team had an excellent second half, we pushed hard. Clearly, we weren’t ideal in the first half and need a little time to get all the new players settled.
“We have to improve when we are aggressive in the press and controlling the transition, but Milan have a lot of physicality and pace, we know there are risks in the way we play and our players have to embrace that.
“With four attacking players, I wanted to send a message and I think it was received. We take risks, we need to find the right balance, but we have to be aggressive and attacking. Possession must not be just for its own sake, but to create chances and above all get bodies in the box. That is where we also need to do better.
“We played to win, but against this Milan side you cannot afford mistakes, and we also knew that we had a slight disadvantage on set plays, but I preferred to take that approach.”