Rent a car if you want to see some of the surroundings as well because the distances in Milan are quite large. Taxis are quite expensive too. A rental car gives you the option to see Milanello, even though it's not open.
If you go by public transport, the metro station San Siro Stadio is the final destination of metro line 5 and is close to the stadium. After one of the matches, you can take one of the many trams behind the Curva Sud, back to the city centre.