Kevin Prince Boateng was the first to walk off the pitch after being subjected to abuse from the home fans.
He was followed by captain Massimo Ambrosini and the rest of the Milan players.
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Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.
Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.