Following Leeds' relegation in 2004, Milner became one of the young stars the club sold in a drastic bid to save money.
The Horsforth lad said: "I was always a Leeds fan. I was a ball-boy at Elland Road so it was a shocking feeling when we went down.
"There were plenty of tears in the dressing room, mostly from the local lads, the lads who came through the academy like Alan Smith and Paul Robinson. It hit them a bit harder.
"I enjoyed every minute there. I'm a Leeds lad, a Leeds fan and my only disappointment is I didn't get to play for them a bit longer.
"Maybe one day I'll go back - never say never."