The Portugal striker's future has been cast into doubt by chairman Paolo Scaroni in recent weeks.
But Costacurta told Mediaset: "Leao is Milan's most important player and I hope he can be for a long time. It's clear that he must continue to improve. This year I think he has improved, not as much as we all expected, but he has improved.
"Milan came in second, I wouldn't want this aspect to be forgotten in front of teams that on paper were stronger. However, to be able to get close to this Inter, but above all to a European panorama that Milan fans are used to, they must also focus on some defenders in my opinion.
"Milan's defenders haven't been good this year, especially the central ones. However, in a certain sense I think they can make up for it. However, there is also a need for experience there and in my opinion one man per department could be ideal for Milan."