In a fans' Q&A with the Evening Chronicle, Milner revealed: "I came very close. I came into training and it was the last day of the transfer window.
"The manager said 'We've accepted an offer for you.' So when a club says they don't want you it is pointless staying. I had been at Villa the year before so I was prepared to go because I wanted to play football.
"Everyone knows when a club accepts a bid it is pointless hanging around. I drove to Leeds, met my agent, spoke to my mum and dad briefly and then pulled into the Villa training ground.
"I got into Martin O'Neill's office and he then said that Newcastle had pulled the plug five minutes before. We had done a lot of driving for nothing, really. The deal was very close and I was annoyed at the time. But that's the way things happen.
"The most annoying thing was that I wasn't even on the bench for Newcastle's next game against Fulham.
"That one was pretty hard to take and I was annoyed. I was always happy to be at Newcastle but once a team accepts a bid, it's out of your hands."