Milner says City have to make sure they do not let their setback in Napoli's San Paolo stadium derail their season.
Milner said: "We're a strong group of players, mentally as well. We still have confidence in ourselves.
"This is a massive disappointment but it's all part of football.
"You have to deal with disappointments, move on from them and make sure you learn from your mistakes.
"That makes you a stronger and better team.
"It's a learning curve for us. We have to make sure we bounce back from this but learn from it also.
"We're disappointed but we will pick ourselves up and go again on Sunday at Anfield and make sure we bounce back with a good performance and get a win."