Milan raced to a 2-0 lead over Werder Bremen, but the Bundesliga side fought back to level 2-2 and progressed on away goals after the tie finished 3-3 on aggregate.
Racing stripes: AC Milan's David Beckham reacts against Werder Bremen
The former England captain, who is scheduled to return to LA Galaxy next week unless a transfer deal can be agreed, said: "It doesn't change me wanting to play at this club and hopefully it doesn't change other people's views of me wanting to stay at this club."
Tatts the way to do it: Beckham trudges off following the aggregate defeat to Bremen
The two clubs remain in stalemate over transfer negotiations after Milan vice president Adriano Galliani refused to budge on AC's on £2million offer. Galaxy appear to be holding out for £7m.
Galliani admitted that it is "frustrating" given that the 33-year-old will become a free agent in November.
The former Manchester United hero added: "There's a lot going on and a lot being said and every day someone is asking me questions about what's happening.
"It needn't be said every day, but so far I am trying to concentrate on the football. At the moment we'll have to see what happens. At the moment it is being discussed and negotiated."
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