The Magpies managed just one shot on target at the San Siro but Nevin said taking a point away from home is a huge step in the right direction for Eddie Howe's side.
"I'd say Newcastle might have just sneaked it for part of the second half but that happens away from home in the Champions League," Nevin told BBC Radio 5 Live.
"I think Newcastle could have played a little bit better but I don’t know if they could have worked any harder. The workrate right the way through the team was exceptional. That’s what kept them in the game. They threw their bodies in front of the ball when they had to.
"The keeper was good particularly in the first half. In that second half when Milan had those little sparks of attacking which is what they like to do, there was enough [Newcastle] bodies back there. It didn’t matter if it was Almiron, it didn’t matter if it was Burn, they were all throwing themselves and their bodies in the way.
"They walk away from this tonight and I think they are quite proud of the game, I really do think they are very proud of it. Not outclassed and knowing and understanding what you have to do to get points away from home in the Champions League. So they will walk away without a shadow of a doubt the happier of the teams."