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Inzaghi's job has been the subject of great debate in recent weeks, with Milan languishing in 11th position after 22 rounds of Serie A.
Saturday's 3-1 loss at leaders Juventus left Milan with just one win from their past seven league fixtures, increasing the pressure on Inzaghi.
"The coach is giving his all, just like the team," El Shaarawy told reporters. "We have great faith in him.
"He's a great coach and a wonderful person. We are all with Inzaghi.
"It is not an easy time, but we have to unite as a team and be more aware of our capabilities.
"We must take it one game at a time. A month ago we were seen as Champions League candidates, now as if we're heading for relegation.
"We just have to focus on doing our best."
