Milan beat Malmo on penalties in Sweden after Antonio Cassano had helped them to a 2-2 draw.
The Rossoneri got off to a strong start with Kevin-Prince Boateng drilling just wide and forcing a tough save.
Cassano impressed for Italy midweek and seemed to be improving his fitness levels again, as he scored the opening goal.
FantAntonio only had to be in the right place to nod in a splendid Urby Emanuelson chip over the goalkeeper.
However, the defence was caught out by Durmaz with a left-foot finish from the edge of the box to equalise for Malmo.
The Swedes turned the game around after the break, as youngster Rodrigo Ely accidentally passed it straight to Malm, who beat Christian Abbiati in a one-on-one.
Milan finally snatched the 2-2 result in the final minutes when Cassano provided the assist for Kingsley Boateng's header.
It went to penalties and Milan emerged 5-4 winners, as Abbiati parried Nilsson's spot-kick.
Malmo 2-2 Milan (4-5 on pens)
Scorers: Cassano 26 (Mi), Durmaz 35 (Ma), Malm 47 (Ma), K Boateng 90 (Mi)
Malmo: Melicharek; Holsti, Andersson, Jansson, Hamad; Mehmeti, Pekalski, Mutavadzic, Durmaz; Figueiredo, Larsson
Milan: Amelia (Abbiati 46); Antonini (K Boateng 61), Rodrigo Ely (Abate 72), Bonera, Taiwo (De Sciglio 73); Gattuso (Van Bommel 46), Ambrosini, Emanuelson; K P Boateng (Oddo 46); Cassano, Ibrahimovic (Comi 61)