After starting the season with impressive victories over Lazio and Parma, Milan have subsequently won just two of their subsequent eight to leave them seventh in the table.
Having already slipped nine points behind league leaders Juventus after the weekend's 2-0 loss to Palermo at San Siro, reports have emerged that head coach Inzaghi's job could be under threat.
However, De Jong insists the whole squad should bear the brunt of criticism, rather than just the coach.
"It's not Inzaghi's fault if we lose a match, even if he did take responsibility," the midfielder told a media conference on Tuesday.
"We win together and we lose together. Of course, when we lose, he's the first one to be blamed because he has to face the cameras. We have a lot of work to do.
"I don't know what's happened, we always play to win and right now it's proving difficult. We continue to work, and we believe in ourselves.
"We didn't have a good game against Palermo, but we must believe in our objective which could be third or fourth place.
"We travel to Genoa [to face Sampdoria] with confidence, even if it will be hard there."
Inzaghi takes Milan to the Luigi Ferraris on Saturday hoping to get back to winning ways, but they face a tough test given the hosts are flying high in fourth place under Sinisa Mihajlovic.
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