Milan beat CSU Craiova 2-0 in the second leg of their UEFA Europa League third-qualifying round tie to cruise into the play-off round 3-0 on aggregate in front of an impressive 65,763 crowd.
After the dramatic twists and turns of a saga earlier in the transfer window that ultimately led to Donnarumma signing a new contract, the 18-year-old was grateful to receive a positive reception from the club's support after Vincenzo Montella had called for their backing of the shot-stopper prior to the match.
In the game itself, Donnarumma followed up his clean sheet in last week's first leg in Romania with another at San Siro, making a key first-half save from Alexandru Mitrita with his face.
"I thank the supporters for the welcome and cheers they gave to me," Donnarumma said to Milan TV after goals from Giacomo Bonaventura and youngster Patrick Cutrone proved decisive.
"I didn't expect it, but I am happy at the way they greeted me and promise I will always give everything for this jersey. They know I am Milan's first fan.
"For me it is as if nothing happened. I have always been myself and I try to help my team-mates the way they help me.
"We are working well and the credit for the two clean sheets over two legs is down to the whole team. I thank my team-mates."
He added: "We have brought in many new players and the important thing now is to unite as a group. I dedicate this win to my family, who have always by my side.
"We move forward and enjoy every single win. We are on the right track and I am proud to wear the Milan shirt."
The draw for the play-off round will take place in Nyon on Friday.