The club were hit with the closure of the Curva Sud section of San Siro for Saturday's 1-0 victory over Sampdoria, as punishment for anti-Neapolitan chants in the side's 2-1 loss to Napoli on September 22.
But a section of the fans known as the 'ultras' protested outside the stadium, with reports of insulting banners and racist chanting.
The club could face further sanctions if found guilty of such actions.
However, Allegri - who had held a meeting with fans at the training ground on Friday - believes that the behaviour of the supporters is improving.
"The ultras came to salute the team yesterday and encourage them, just as they did last season during a tough moment," Allegri said.
"In my four years at Milan the Curva has been exemplary. There has always been mockery and it will always be there.
"We are improving in this sense, but as time goes on I hope there will be a better approach to fandom for those who come to the stadium."
The game against Sampdoria saw transfer-window signing Alessandro Matri draw a blank, with Valter Birsa's strike separating the two teams.
The former Juventus man has now made five appearances without registering in Serie A for Milan, but Allegri backed the striker to find the target before too long.
He added: "He worked hard for the team tonight. He made some mistakes and was unlucky. The goal will come, just stay calm."
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