Milner would love the experience he had at Manchester City in winning trophies to be repeated over at Anfield.
He said: “At City, winning the FA Cup was massive to start it off and get that belief.
"Then we won a couple of Premier League titles and the League Cup after that.
“We've had excellent chances here. Two European finals and a League Cup final. You can see how close we are – you don't get to two European finals without being a very good team.
“You've seen some of our performances and the sides we've beaten. We're so close. It's just about getting over the line in one final to get that winning belief."