Many believe Ferguson's decision to step down will hurt Manchester United.
Milner said: "I don't think that affects us really. We concentrate on our business over here and it's obviously big news but all we are concentrating on us the FA Cup final.
"It's not going to be any more open than it would have been if he was there next year. He's been an amazing manager for them over the years, his record is ridiculous, unreal, but we are concerned on our side.
"We are bitterly disappointed how the League went this year, the main thing is that we win a piece of silverware at the weekend, do that and take the momentum of winning a trophy into next season and have a good league campaign."