Allegri's men travel to Celtic in the UEFA Champions League on Tuesday, needing a result to end their worrying form slump.
Milan are winless in their past seven games in all competitions to be 13th in the Serie A but in a decent position in Group H of the Champions League.
Allegri said he understood the fans' disappointment but insists he would rather be playing in Milan, where supporters blocked in players after Saturday's 1-1 draw against Genoa.
"It's only normal that the fans are disappointed but they are not the only ones," he said.
"All the playing staff and everyone else at the club share their disappointment.
"We have to do better and in this we need the fans to be behind us so I don't think it's ever true that it's better to be playing away from home, it's better to be playing at San Siro."
Milan are second in Group H, which is topped by Barcelona, and even a draw at Celtic would be a decent result.
Allegri said it was one of Milan's goals to reach the knockout stages of the Champions League.
"They are two very distinct competitions – Serie A and the Champions League and for tomorrow's match we will do the ground work to make sure we are as well prepared as we possibly can be," the 46-year-old said.
"One of our two main aims this season is to qualify out of the group stages of the Champions League."
Milan midfielder Kaka has urged striker Mario Balotelli to get back on the scoresheet, with his last club goal coming against Ajax on October 1.
"He's a player that I like, he's someone I enjoy working with and he makes me laugh," Kaka said.
"It's always difficult if a striker isn't scoring goals but I'm sure he will be able to cast half his problems aside as soon as he starts finding the net.
"As for his personal problems, that's really up to him to find a way out of what he's going through."
