The Milan fans, having seen Zlatan Ibrahimovic, Antonio Cassano and Thiago Silva sold in the close season, clearly sensed what was on the cards for the Group C tie as fewer than 28,000 turned up, leaving the imposing stadium two-thirds empty.
Those who were present greeted the final whistle with a deafening chorus of jeers as Milan stumbled again after starting their Serie A campaign with 1-0 home defeats by Sampdoria and Atalanta.
By contrast, there was applause at the half-time interval as the stadium screen showed Ibrahimovic scoring a penalty in Paris St Germain's 4-1 victory over Dynamo Kiev in Group A.
Anderlecht, returning to the group stages after a six-year absence, outplayed Milan for long periods and had more possession although it was the hosts who created the clearer openings.
"I think the team can get better, that is an important factor," Milan coach Massimiliano Allegri told reporters as he tried to put on a brave face. "We did create four good scoring chances."
Allegri started up front with Giampaolo Pazzini, who last season struggled for goals with Inter Milan, and Urby Emanuelson, a substitute for most of last term.
Anderlecht goalkeeper Silvio Proto frustrated the home team with some excellent saves although that will not be accepted as an excuse by the media and supporters.
The highlight for Proto came when he blocked a point-blank header from Milan substitute Stephan El Shaarawy just after the hour.
The Belgian side's best chance fell to Argentine midfielder Lucas Biglia who latched on to Dieudonne Mbokani's flicked pass and burst into the area but shot over with only goalkeeper Christian Abbiati to beat.
TACTICAL SURPRISE
If he had hit the target Anderlecht would have been celebrating their first win in Italy in 15 attempts, a run stretching back to 1964.
"We completely dominated the first half, we presented a tactical and technical surprise and we kept Kevin-Prince Boateng out of the match," said Anderlecht's Dutch coach John van den Brom.
"We proved we have a place in the Champions League. Milan's problems are not my problems, we analysed their last three games and came back with the same conclusion, that they are a good team with good players but they give chances away and space away."
Anderlecht began with a few flowing moves involving Brazilian playmaker Kanu and Argentine midfielder Biglia. Sacha Kljestan nearly gave them the lead with a low shot that was turned around the post by Abbiati.
Milan looked disjointed although they did produce some dangerous situations which brought out the best in Proto.
He did well to deny close-range efforts from Boateng and Mathieu Flamini and he also foiled Emanuelson when the forward met Luca Antonini's raking crossfield pass with a first-time shot.
El Shaarawy livened things up briefly after replacing Boateng but a few dangerous moments were interspersed with shoddy passing which infuriated the supporters.
Nigel de Jong's lack of creativity also meant Milan were short of ideas in midfield.
