I can't speak for Pippo, Soho...but my answer would be loyalty through force of habit. I picked up Milan as a club iaround 96 or 97. Coz I was this huge fan of Maldini(thanks to dad), and I figured I'd just support whichever team he played for. I was 10. I knew F-all about formations and tactics or whatever. It's been 12 years and believe it or not, if I do the math, they've been more bad than good. I picked a rather lousy time to support Milan.

But the good times started with that fat b@stard we call the coach. So you must excuse me if my loyalty seems too blind.
Soho..I perfectly agree with you when you say big clubs don't do that. I'm not saying for one minute that Milan must act defeatist right at the start of the season. Of course, you must go out there looking to chase all the trophies you want. But I just think going for broke, and ending up with a little less shouldn't be seen as a failure.
Anyway looking at our team once again at the start of the season...
1.We had no reliable striker. No attacking combo. : You will agree with this. Pato has come into his own, only in the last few months. Borriello is out. He was meant to be an integral part of the team, you can't deny this. I refuse to believe that 15 million was spent, so he could be a sub. So essentially, we started with no fixed strikers(tactically), and now have a fragmented one.
2.Brand new mid-field, with 'compulsory' additions. : No I'm not trying to diss R80. But the truth was, Carlo wanted Ribery, he said as much but the mgmnt. wanted R80. Now it made sense to me that he would want Ribery, because you had one player in Kaka who plays from centre to the left, while Ribery plays from the centre to the right. It would have been an excellent managed attack (on paper), and would also have dealt with the lack of penetration our fullbacks have had width-wise, ever since Sergio and Cafu left. But we got R80, and Carlo's had to make a set of tactics (he's still making it) that suits Kaka and R80. Their last experiment btw was the 2006 WC, and you know how that went. R80 had to play at least initially to keep the crowds in , and while we could have flopped horribly, things didn't go as bad as it could have. Not to mention Flamini, Emerson,Ambro, Pirlo and Rino all of whom would technically require playing time. I hope you don't think man-management is as easy as 'You're not playing, sit on the bench!'
3.Completely decimated defence: I think it says it all. When someone who was supposed to be our fourth choice CB, and someone who's supposed to be our non-playing captain, fight like gladiators to keep the team in the hunt(not that they're given any brownie points for doing what is above and beyond their call of duty), something is not right in our defence.
4.Injuries: We've been hurting and hurting bad. Our key players have been injured at every point in the season, in fact we haven't ever had one time when all our top players were available for selection at the same time. In defence- Nesta, Kaladze is out. In mid- Pirlo was out, then when Rino was in great form and easily our best mid he took a knock as well. In attack - Except for Pato everyone's been unfit.
Now the deal is Juve's loss was excused against Catania(?) coz their best defender-Chiellini, key/best mid:Marchionni and best-striker: Alex was out. Shall we apply the same yardstick to Milan then?? But we don't, coz we're Milan, and we must win CL even if we've forced Baresi and Tassoti to play for us. Btw that's happened too. We were so understaffed that Tassoti took part in the training games.

Now from the above, Points 1,2 and 3 I knew beforehand,so I figured we were scudetto contenders, but that it would a couple of steps short of impossible to win. I retained hope, coz well...we're Milan. But seriously, after point number 4, I'm not even arguing with my belief that 2nd place and UEFA would be an achievement in itself. And this is not bringing into account, my earlier mentioned point about the refereeing. That quote I posted was before Inter won two matches. One with Maicon's offside goal, and the other was the last match I think where Catania seemed to have a goal disallowed. Assuming Inter would still have won, that's still an extra 2 points (at least) that Inter have been gifted.
Before you go into Inter having injuries, yes their defence was hit. I think for three weeks when Chivu and Matrix was out. They had Cordoba, Burdisso and I think Samuel was played as well.
We've gone one and a half months playing our fourth choice CB pairing and will probably do so for another one month., which btw I think deserves lot of credit. Credit that is rarely forthcoming.
Finally your point about big clubs. I suppose you've heard of Madrid. Sergio Ramos coming out and saying that it's all dependent on Barca?? Or Schuster saying they had no chance. First off, so big clubs have given up the race, and this season too. And this club was the biggest. Now I don't know, but as per your argument, saying the 'truth like House M.D' is perfectly justified- which is exactly what Schuster did. Yet, you say Madrid were totally right in firing him.
Firing coaches- Well I can give you examples: Blackburn Rovers, Chelsea, Valencia, Madrid, Newcastle the list goes on.
While on the other hand you have teams like Villa, Everton, Napoli, Udinese etc.
Just my perspective of looking at the matter.
@Pana: It wasn't my intention to imply Zed.D wasn't a Milan fan. Just that we're looking at the same thing from different perspectives. That, perhaps having reduced expectations (as opposed to a winning a double/treble every season) isn't such a bad thing. That perhaps the 'realism' must apply to the targets we choose, and not just at the end of every drawn/lost match.