Forest have tumbled out of the top four after just one win in their last five Premier League games.
But Milenkovic told Gianlucadimarzio.com: "In my opinion, every team during the season has both ups and downs. The bass happened to us at a crucial moment, but I think that with Crystal Palace in the last game we had a good game. We knew that playing at their home was very difficult.
"Three games remain and our focus is on the next with Leicester.
"If there is a risk of taking it lightly against the Foxes already relegated? Absolutely we must not underestimate anyone, the focus when we enter the field must be the same that we have put into practice against Crystal Palace. We will prepare ourselves better."
Asked about the best attackers he's faced this season, Milenkovic said: "In the Premier League there are many attackers who can put you in difficulty.
"Salah? He played on the other side but giving a name is difficult. The Premier is full of players who can create problems in any situation in one on one, in speed and with the technique."
And on comparisons with former Manchester United captain Nemanja Vidic, he added: "I absolutely would not like to compare myself to Nemanja. It's unique. We are talking about a Manchester United legend and the greatest Serbian player of all time."