Inzaghi was appointed head coach at San Siro in June, replacing ex-Milan team-mate Clarence Seedorf who lasted just five months in the role.
Milan endured a torrid 2013-14 campaign, eventually limping to an eighth-placed finish in Serie A.
The club's pre-season form has also been poor, with Milan failing to win any of their three matches in the International Champions Cup before losing 2-1 in Sunday's encounter at the Mestalla.
Despite the loss, Inzaghi is confident his side have shown enough to suggest they will be more than ready for their league opener with Lazio on August 31.
"It was a very good performance and I lost count of the number of corners we took," Inzaghi said at the post-match press conference.
"We did good things. Unfortunately, every time our opponents get a shot on goal at the moment we tend to concede.
"At this moment, I have to focus on the overall performance of the side. We conceded two avoidable goals, but I think we are on the right track to be ready for Lazio.
"We held out well over 90 minutes and acted like an important team. There are 15 days left and we have to be prepared for Lazio."