AC Milan will have a chance to leapfrog Lazio into third place in the Serie A this Saturday when the two sides meet at San Siro this Saturday.
Milan are currently in fine form currently and are unbeaten after coming out of the winter break but Ambrosini is under no illusion that the match against Lazio will be an easy one.
"We're going through a delicate period at the moment and the game against Lazio will be tough," the captain told Milan Channel.
"Saturday's match is important as there are less and less games left to go. We have to think about winning the head to head games.
"We'll have to play intelligent football and Saturday's game will be the most delicate. It's a tough match to read as they make you play badly and they have dangerous players."
The Rossoneri were recently held to a 1-1 draw by Inter Milan in the Milan derby.