Salvatore Bocchetti warned Milan not to take last week's victory over Roma for granted when they visit Sassuolo on Sunday.
The future of head coach Filippo Inzaghi was cast into doubt as a run of three straight Serie A defeats led to reports of a falling out with his squad and fan unrest.
However, there was a rare highlight in a disappointing season for Milan as they defeated Rudi Garcia's side 2-1 at San Siro with Marco van Ginkel and former Roma man Mattia Destro both on the scoresheet.
Next up is a trip to the Mapei Stadium to face a Sassuolo side that ended a five-match winless run with a 3-2 victory at Cesena last time out.
Defender Bocchetti, who joined on loan from Spartak Moscow in January, says Milan - who are 10th - are in confident mood, but is expecting a tough away trip.
"We have to keep believing until the end, there are still nine points available, and we could still move up the table," he told the club's official website.
"We needed it [the win over Roma]. We were pleased with our performance in that match and I think we played better than Roma.
“We created a lot, but the important thing was the win.
"I think it was a deserved victory. On Sunday the game allowed us to overcome a difficult run. We're a team, and we have to move together in the right direction.
"As for Sassuolo, they're a team in form and they have dangerous players so we have to be very careful. They have very good players in attack, so it'll be a tough game."
In a further boost to Milan, forward Stephan El Shaarawy trained with his team-mates for the first time this week since suffering a foot injury in January, having previously been working on an individual programme.
Sassuolo, who lie 16th, have enjoyed success in recent times against Milan - winning January's reverse fixture 2-1, while four goals from Domenico Berardi saw them edge last season's corresponding clash 4-3 in a seven-goal thriller.
The victory over Cesena ensured mathematical safety and a third consecutive season in Serie A.
Sassuolo's success has seen head coach Eusebio Di Francesco linked with other clubs, with the man himself stating that he would meet with the board to discuss the club's vision for the future in the coming weeks.
