In the San Siro, they are hoping history repeats itself.
All other indicators point to elimination for Milan at the hands of Manchester United in the Champions League.
Previous encounters between the clubs, however, do not.
The Rossoneri boast a proud record against the Red Devils and Leonardo would do well to purchase the DVDs of past victories to inspire his troops.
Of course, football managers will tell you that history counts for nothing when the two teams step out onto the pitch and that is indisputably true.
Nonetheless, players are a superstitious bunch and the omens are not as bad for Milan as you might think.
Back in 1958, for example, the two teams met in what was then known as the European Cup and United won the first leg at Old Trafford 2-1.
Did they go on to complete the job in Milan? They certainly did not.
The rampant Italians dished out a 4-0 thrashing with two goals for Juan Alberto Schiaffino, one for Swedish midfield mastermind Nils Liedholm, and another for Giancarlo Danova.
That was a fine Milan side which narrowly lost out in the final to Real Madrid. It was also a Manchester United side which had been ripped apart by the Munich air disaster.
11 years later they met again on a more level playing field.
Once again a Swede played a part in helping the Rossoneri have the edge. Kurt Hamrin was one of the scorers in the first leg in Milan along with Angelo Sormani.
They held off their English rivals, who won the return tie 1-0, and progressed to the final. This time they emerged victorious under wily old Coach Nereo Rocco with a 4-1 destruction of Ajax.
That’s all ancient history you might argue.
More recently, however, the Milanese hold the upper hand.
A single strike from Hernan Crespo in each leg was enough to give Milan the honours in 2005—on their way to losing THAT final to Liverpool.
While in 2007, a 3-2 deficit from Old Trafford was emphatically overturned thanks to goals from Kaka, Clarence Seedorf and Alberto Gilardino in a 3-0 victory.
This time the Rossoneri went on to get their revenge over Liverpool and lift the trophy for the seventh time.
In fact, on every occasion Milan have knocked out Manchester United they have gone on to contest the final of the competition, which is not bad as omens go.
Of course, there is plenty to suggest that this 2010 edition will not follow the history books.
Leonardo’s side is something of a work in progress as he tries to rejuvenate the team he inherited from Carlo Ancelotti and infuse it with his own attacking spirit.
They are capable of fine performances, but not on a regular basis.
Manchester United, on the other hand, are in close contention for their domestic title and have been consistently hitting the top level for a number of years.
Crucially, they have players who can take command of a game and deny their opponents any chance to seize the initiative.
Milan, however, have talent.
From Thiago Silva and Alessandro Nesta at the back, to Clarence Seedorf and Andrea Pirlo in midfield and Ronaldinho and Pato in attack, they boast some gifted ballplayers.
If Leonardo can work out a way of getting his men time and space then they could hurt Manchester United.
It might just be enough to bring those ghosts of the San Siro back to life.