The Australia international spent time with both clubs towards the end of the English season and setantasports.com revealed in May that The Gunners were showing an interest in the player.
Milligan is a free agent after leaving Sydney FC and is also pursuing alternative possibilities in Spain through his agent, Tom Brookes.
"I trained with both teams," the 22 year old told the Australian press of his time in England.
"Obviously a bit disappointing at what happened over at Man City (with manager Sven Goran Eriksson leaving), out of my control.
"But I just enjoyed my time over there, it was a massive learning experience for me.
"Obviously I’d like to go to England but we're also having a look around the place at things like Spain."
However, Milligan's current focus is winning a place in his country's squad for the Beijing Olympics after he attracted criticism for giving late notice of missing a training camp in April.
Milligan added: "Everyone that I've spoken to has been made very well aware that the Olympics is very important to me and at the moment it’s my first priority."