Capello's hard luck story
It now looks like an uphill task for Roma, who conceded an own goal as well as a penalty in the Stadio Olimpico on Tuesday night.
Despite conceding four goals in the second period, Capello believes that his side were unlucky and could have added to the first half strike by Francesco Totti.
He said: "In the second half we also had chances to score. Milan had luck on their side. Firstly they had a penalty, then Zebina scored an own goal.
"Our keeper conceded four goals but never had to make another save."
"This is how our season has been. We build a lot and we don't score many goals. It will be difficult to overturn this result."
Milan manager Carlo Ancelotti was happy with his team's performance and agreed that Roma had been unlucky.
He said: "We played better in the second half, because in the first Roma played very well.
"It's an important result but Roma deserved more. We are very happy."