Inzaghi was named as Clarence Seedorf's successor during the close-season and has been tasked with helping the Serie A giants bounce back from a disappointing eighth-placed finish last term.
However, Shevchenko says his former Milan team-mate Inzaghi has taken on a difficult job and should be afforded plenty of time to transform the club's fortunes.
"I have always known that Inzaghi would have been a coach," he is quoted as telling Milan News.
"He's always had the talent for such a role. Even as a player, he was very interested in the tactical side of the game.
"I think Pippo [Inzaghi] can help Milan get back to being a great side, but we shouldn't expect miracles from the start."
Milan started their season with a 3-1 win over Lazio and visit Parma on Sunday.
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