The 22-year-old has been the subject of transfer rumours linking him with a move to both Liverpool and Aston Villa in recent weeks.
A statement on the club's website read: "Newcastle can confirm that it has received a written transfer request from James Milner.
"The club is very disappointed that James sees his footballing future as away from St James' Park. He is a valued member of the squad and it is only a year ago that he signed an improved long-term contract.
"We have yet to receive an offer for James that has matched our valuation of him."