Roberto Mancini’s men went down 2-1 at Stamford Bridge, after goals from Raul Meireles and Frank Lampard either side of Gael Clichy's second-half sending off overturned Mario Balotelli's early opener.
Whilst the former Aston Villa man has admitted his disappointment at the loss, Milner conceded he never had imagined the Citizens might emulate the Gunners’ unbeaten 2003-04 season.
“We hadn’t though about whether we could do it or not, we just go out and try to win every game. It was a case of one game at a time,” he told the club’s website.
“We were obviously disappointed to come away from Chelsea with a defeat.
“Another day we wouldn’t have lost, but now it’s about how we react to that defeat.
“We’ve got a massive game now and we aim to come away from that with a win.
“Bouncing back is important. It’s just one defeat, you need to take what you can from it and move on.”
Milner also conceded that Sunday's opponents Arsenal – and especially star striker Robin van Persie – are a force to be reckoned with ahead of their match at the Etihad Stadium.
He said: “Arsenal have shown themselves over the last 10 or 15 years to be one of the best clubs in the country and Europe. They prove it year in, year out.
“We need to make sure we put Chelsea behind us by taking the three points.
“Robin van Persie is one of the top players in the country and he’ll be hard to keep quiet, but it’s not just him, they’ve got plenty of good players in their squad.
“We have to make sure we all turn up and want it. There’s no better way of clearing the Chelsea result out of our system than by getting a win on Sunday.”