The Rossoneri are coming into their big Champions League opener against Newcastle this week on the back of a big 5-1 defeat at the hands of local rivals Inter Milan.
Newcastle are hoping to catch an underconfident AC Milan side off guard in front of the home fans, who had to endure a big defeat in the derby.
Ambrosini is aware of the challenges of playing big games back-to-back but insisted that AC Milan must back themselves to beat Newcastle at home.
He is certain that the San Siro faithful will back the home side despite the big derby defeat and the players just need to show more confidence and belief against the Magpies.
The AC Milan legend told DAZN Italia (via Tutto Mercato): “It also happened to me that I played games on Saturday or Sunday and then played against on Tuesday.
“But Milan are playing Newcastle at the San Siro.
“I continue to think that until now these guys have had a truly beautiful journey.
“What better opportunity than to play here?
“The stadium won’t let what happened in the derby bother them in the slightest.
“They have an opportunity and they must start again on a positive note of the first three games with a little more courage and a little more confidence in themselves.”
Newcastle are back in the Champions League for the first time in more than two decades while AC Milan played in the semi-final last season.