The Rossoneri go into Sunday's game against Lecce on the back of Tuesday's 3-0 defeat at Arsenal in the Champions League.
Despite the loss, the Rossoneri progressed to the quarter-finals of the competition 4-3 on aggregate.
"It's not nice to lose in that manner but the important thing is that we qualified for the next round," Mesbah said.
"It would have been a shock not to progress having won our opening leg 4-0, but we must learn from that defeat.
"Now we must think only about Sunday's game and getting three points."
The Serie A leaders will look to pick up where they left off in last weekend's 4-0 triumph at Palermo.
The result lifted Massimiliano Allegri's Milan two points clear of second-placed Juventus.
Lecce go into the game at the Giuseppe Meazza stadium as firm underdogs as they are without a host of players through injuries and suspension.
The Salentini must overcome the absence of defender Nenad Tomovic, midfielder Gennaro Delvecchio and striker David Di Michele, all suspended.
Moreover, Brazilian goalkeeper Julio Sergio is out with a knee injury while midfielder Juan Guillermo Cuadrado is out with an ankle problem.
"We have a lot of important players unavailable," Lecce goalkeeper Massimiliano Benassi said.
"But I am confident that whoever goes out on the pitch will do their best.
"We know we face a difficult game against Milan but we have to play without fear."
To complicate matters for the visitors, Lecce coach Serse Cosmi will have to watch the game from the stands as he serves a one-match touchline ban.
Cosmi was handed his marching orders during last weekend's 2-2 draw against Genoa.
The result extended Lecce's unbeaten run to five games and lifted the club to 18th place, four points from safety.