Despite spending more than 200 million euros (178.41 million pounds) on new signings in the close season, Milan have won only one of their last seven games in all competitions.
They have dropped to eighth in Serie A, though they still top their Europa League group after Thursday’s result.
Milan's poor form means Montella has to live with speculation about his future every time they fail to win.
"I've been watching my own funeral for a while now," said Montella while still managing to keep a smile on his face.
"It gives you a new perspective on things. Having said that, I know that the club have faith in me, so we will see.
"We know that our men can do more, they are young talents with a great future lying ahead of them," added Montella, who is in his second season at the club.
"For those who came from foreign leagues, it's not easy to adapt to the Italian style of football.
"A few weeks ago we created more chances, but allowed more in defence," he added. "Now we don’t create as much, but also barely allow any chances for our opponents."
(Writing by Brian Homewood in Bern; Editing by Peter Rutherford)
