Inzaghi may be under severe pressure at Milan, with reports suggesting a Coppa Italia defeat to Lazio could seal his fate, but Menez insists the coach has not lost the dressing room.
Former striker Inzaghi has struggled at the San Siro helm and the 18-time Italian champions sit 10th after 20 matches, with Saturday's 3-1 Serie A loss to Lazio leading to increased speculation over the 41-year-old's future.
But he has received some timely backing from Menez, who was on target in the capital at the weekend.
"In the dressing room we're fine, the players are always with Inzaghi," said the France international ahead of Tuesday's quarter-final visit of Lazio.
"It is true that we are going through a difficult time. We have to stand up and go back to work hard for a good result because we want all of this.
"It is true that [the] match is very important for us, for the coach and for the fans, but we should not put extra pressure on ourselves.
"We cannot make mistakes and we have to go on the field as lions, because you cannot make mistakes.
"In the Championship we are not living a beautiful moment, if we can do something in the Italian Cup would be nice.
"We know when Milan is not good, there are people who speak ill of the club and it's too easy to do so. We have to pull together, only then can we move forward."
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