Well, Milan is the world's finest club, so it's only natural that there are many legends.
Franco Baresi, Gianni Rivera and Paolo Maldini infornt of everyone else.
Then there are some loyal and established players who devoted their whole (or at least the biggest part) careers to Milan like Costacurta, Albertini, Ambrosini, Tassotti, Alberigo Evani, Roberto Donadoni and Cesare Maldini
Also, Zvone Boban (whom I really admire), George Weah, Marco Simone (which is I fear never truly recognized), Ruud Gullit, Frank Rijkaard, the Gre-No-Li trio and Altafini.
Aldo Maldera and Andrij Shevchenko maybe left us in a harsh way, but they still are lengends.
So that's my "short"list,..