Arsenal faced a fifth straight defeat for the first time since 1977 before an impressive victory at the San Siro.
"Arsenal are in a very hard period, but are a great team, but we made too many mistakes", said Gattuso. "If anyone tells you, you haven't got to prove anything to anyone, they are wrong".
Sir Alex Ferguson and Arsene Wenger may not have always seen eye-to-eye over the years but the two still have tremendous respect for one another - as evidenced in Fergie's latest gesture for the Arsenal boss. Milan had not conceded a goal in their previous six games and it was the Armenian who led Arsenal's charge after they overcame a nervy first five minutes. That is interesting as well and can make you a better manager.
And Le Saux is disappointed to see a legend in the game go out on such a low.
"But of course you take the library through Thierry Henry, Bergkamp, Giroud - all the players we have had here you will find some great goals".
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Towards the end of the game, Wenger made sure of the result by throwing as many defenders into the fray as the rules permitted.
Midfield: Aaron Ramsey was excellent against Milan and took his goal superbly well so we should see the Welsh global keep his place in midfield on Sunday.
"They've done the disgusting side of football, and we know they're fantastically creative and can do all the brilliant stuff going forward, but actually the discipline of defence and the way they dug in and worked hard as a team - that's what Arsenal fans want to see". "I have to make sure we win the game next week".
"We can't just give up in the Premier League, we've got to keep fighting", he said. In one week, you do not become a bad team or a bad player. Arsenal are a talented team that is playing poorly while Watford are not as talented but are playing well. It's just nice that we've managed to turn a little corner and get a good result.
"I want to win with style, it is very ambitious".
He added: 'I have had many messages from (managers past and current) who are supportive and I must say I am very grateful to them and we all go through tough times. When I don't win I am suffering like everyone else. I am the first person responsible for this.