The 29-year old has been a key player for the Jets since joining during last season but comes out of contract at the end of the season and has reportedly attracted interest from the Sky Blues.
Milicevic said he would keep his options open but said that remaining with the Jets would be his first choice.
"It's always flattering to hear of other clubs being interested in signing you," he told the Newcastle Herald.
"Obviously both me and Nikolai (Topor-Stanley) are out of contract and we'd be silly not to listen to all offers.
"Sydney are a big club but in saying that I love playing for Newcastle and living here, so I don't necessarily want to leave."
Fellow centre-back Nikolai Topor-Stanley has also been heavily linked with the reigning A-League champions.