Lazio defeated the Rossonero 1-0 at the Olimpico.
Di Canio, also a former Milan player, told Sky Italia: "A crowd like this is devastating; it filled the players' spirits.
"The attitude, the rediscovered desire to stick together and fight, made it feel like a final. Lazio played intense football, preparing for the return leg of the Coppa Italia, because if you manage to reach the final of a competition in a year like this, that's a huge achievement."
Di Canio added, "Milan is a team without personality. Let's leave (Luka) Modric alone, who excites me.
"(Koni) De Winter, (Rafael) Leao like this, (Christian) Pulisic who acts offended and doesn't give him the ball (to Leao). They're a team without personality overall."
