Dutchman Urby Emanuelson scored the only goal of the game, turning the ball in from close-range after Stephen El Shaarawy's initial effort was blocked.
Chelsea were inspired by Eden Hazard, who caused Milan plenty of problems after switching to a central role.
But even after Fernando Torres, making his first pre-season appearance for the Blues, was introduced - Chelsea lacked a cutting edge in front of goal.
The rebuilding job Chelsea have undertaken this summer is not unlike the challenge facing Massimiliano Allegri at AC Milan, who has had to replace the likes of Gennaro Gattuso, Alessandro Nesta and Clarence Seedorf.
That is before consideration of the holes left by Thiago Silva and Zlatan Ibrahimovic, who were both snapped up by Paris Saint-Germain this month.
With Chelsea deeper into their preparations for next season that Milan, the Premier League side possessed extra sharpness - and the Rossoneri struggled to keep the pace in the first half.
But in a game starved of many clear openings, John Terry came closest to scoring when he turned the ball over from 10 yards after Branislav Ivanovic's header back across goal had picked him out.
Chelsea were slicker throughout and the Londoners benefitted from Hazard's switch to a central role in the second half.
The Belgian's incisive runs caused Milan problems time and time again - and his blistering turn of pace almost created an opportunity in the box early in the second half but Djamel Mesbah got across to deny him.
Romelu Lukaku cut an isolated figure in attack, but in a rare bright moment the striker drove into the box and cut the ball back to Frank Lampard, via Hazard's neat dummy, but the England international's low drive was gathered.
Marko Marin added some quality to Chelsea's attacks, but Milan opened the scoring against the run of play with a slick counter-attack led by Emanuelson.
The Dutchman drove into the box and found El Shaarawy, whose shot was deflected into the path of Emanuelson to slide in from close-range.
Chelsea pushed for an equaliser but it proved in vain, as Milan held firm.