Mazzarri's concern was visibly valid as Alberto Aquilani gave Milan the lead with an excellent diving header after being afforded a luxury of space.
Edinson Cavani came to the rescue at San Paolo with a hat-trick, but his coach believes that giving too much respect to the 'big teams' may have dire consequences in the future.
Mazzarri said at the post-match press conference: "To be honest, I didn't really like our performance against Milan. Our start was pretty disappointing and we really can't afford to step onto the pitch like that,"
"We looked very nervous in the opening stages and have to improve in that area. We have to change our attitude against the so-called big teams. We paid them too much respect.
"Obviously, we have to take into account that we faced one of the best teams around, but we could have caused them much more problems with the right approach.
"We have put in some much better performances than this one."