The Italian was on target after 15 minutes at the Philips Stadion, netting the all-important away goal, only for Tim Matavz to equalise on the hour mark.
While the 20-year-old was pleased with his side's performance, he was disappointed that Milan will not be entering the second leg with a lead.
"It's only normal that we were behind in terms of match fitness, but we had good concentration and intensity," he said.
"The only regret is that we were unable to hold on for the win."
After PSV had dominated the early exchanges, it was Milan who went ahead as Ignazio Abate crossed for El Shaarawy to head home.
The former Genoa man was delighted to score his first goal since February, with the style of his effort proving an added bonus.
"It was my first goal in an official match since the derby and it’s also my first header, so it’s very satisfying," he added.
The return leg takes places at San Siro on August 28.
