Chelsea manager Carlo Ancelotti also believed the referee made a mistake, while Kalou said he was stunned not to see the match official pointing to the spot.
"I felt Samuel touch my right leg but the referee told me that I did not have control of the ball any more when he touched me," added Kalou.
"But I was about to shoot and if he touched me on the back of the leg it should be a penalty or he should have booked me for diving."
Ancelotti, who was taking a club to Milan for the first time since quitting AC Milan for west London in the summer, was also confident that his side could progress into the quarter-finals of the competition on the basis of the first leg.
"I think that what we saw tonight, we have the chance to turn it around," commented Ancelotti.
"I think we played well. We leave without a positive result but it's not an ugly one either.
"We will play to attack and win the second leg in the same way we did in this game.
"We tried to attack and score from the first to the last minute."
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