The former Porto coach was appointed Milan boss on Dec 30, after Portuguese compatriot Paulo Fonseca was sacked after just six months in charge due to the team's inconsistent run of form.
Conceicao and his players will depart for Saudi Arabia for his first game in charge when Milan take on Juventus in the Italian Super Cup semi-final in Riyadh on Jan 3.
Inter Milan face Atalanta in the other semi-final on Jan 2.
But the main target is the top four and a qualifying place in Europe's elite club competition, which they have won seven times.
They are 12th in this season's 32-team Champions League table, in the seeded play-off spots.
"We all want one thing - for Milan to return to the Champions League. We are Milan," Conceicao said at his first press conference on Dec 31.
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