The 26-year-old was a member of the City squad that won its first league title in 44 years while the Blues won their first ever Champions League crown and secured the FA Cup.
Milner told reporters: "Winning's a habit and you want to get into those habits of winning trophies and getting into that winning mentality.
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"I think the Chelsea and Manchester City wins were pretty special and there was lots of tension and up and down during the games, and that's the beauty of football if you like.
"But the main thing from our point of view is we managed to finish the job and win the Premier League and like you say, Chelsea go out there and do a job against all the odds, playing away from home if you like, in the Champions League final.
"It's a couple of great achievements. The confidence that you gain from winning trophies can only be a good thing for us going into the tournament."
The former Newcastle man also expressed his pleasure at being named in the 23-man squad despite struggling for regular playing time at points in the season at the Etihad Stadium.
He added: "A new manager comes in and has his own opinions and there's always likely to be changes, and yeah, you hope you're going to be in and contribute but like you say you're never sure until you get the phone call or the text so it was pleasing to get that.
"You want to play at the highest level in major tournaments and I've been lucky enough to play in a World Cup, and hopefully and contribute and have a really good European Championships."