Both forwards have been regularly linked with moves away from the Premier League champions but look set to stay.
Speaking of the duo's presence at the club, Milner told BBC Radio Five Live's Sportsweek programme: "I'm not surprised, no.
"They're both top-class players along with many others we are lucky enough to have in the squad."
Milner himself appears to have been given a new lease of life this season as Roberto Mancini tinkers with a 3-4-1-2 formation, with Milner operating as a right wing-back.
City begin their title defence this afternoon with a home game against newly-promoted Southampton.