Milan produced yet another disappointing display in Greece, struggling to take control of proceedings and rarely looking an attacking threat.
A win would have secured their passage to the knockout phase, but that will now have to wait as they were held goalless, meaning they have picked up just one win in their last seven games across all competitions.
Yet, Montella was in a surprisingly laidback mood for someone reportedly under pressure.
"I've been watching my funeral for a while," he quipped to Sky Sport Italia.
"It gives you a new perspective on things. All joking aside, the club has faith in me and we'll see.
"In all honesty, we need to work. I see the squad eager to work and there is quality there. A few weeks ago we created more, but allowed more in defence.
"Now we don't create as much, but also barely allow any chances for our opponents."
Milan captain Leonardo Bonucci was also eager to defend Montella, surmising that it is the players who go out on the pitch, not the coach.
"We are the ones who step on to the field," Bonucci said. "It's not just the ideas of the coach. We need to get results to bring back the enthusiasm we had this summer.
"I see a lot of quality in this squad, but we lack a little bit of character and confidence to take more responsibility when the ball is at our feet."