Depends on what you want to do, I can't be of much help because I live quite close to Milan so I never had to look for a room there. The city is well served by the underground - the M5, Lilac line, is the line that brings you straight to San Siro, and it's also the newest one (cleaner, has a big glass on the front instead of the driver's compartment because it's automated).
What I can tell you is that if you only want to go there for the game, you should find a practical solution e.g. pick a place that is near San Siro (North-West area, you shouldn't have trouble finding a b&b or hotel) or somewhere near a place that connects various underground lines (for example Garibaldi station, which connects the Lilac line and the Green line, that takes you nearer to the city centre).
If you want to see more of the city, you can also choose somewhere more central or even in the south area (the Navigli area in the South-West is very lively at night). Keep in mind that the city centre is fairly quick to walk around for a big city (Rome is way more tiring). The more central areas are the classiest/poshiest ones of course.
If someone else on here already has experience of sleeping there for a match refer to them though, as I said the only times I slept in Milan I was at a friend's house.