The Whites lost 2-1 to Yorkshire rivals Rotherham United on Friday evening, despite taking the lead at the New York Stadium.
Milanic has taken two points from four Championship matches since taking charge at Elland Road last month.
"It's difficult," he told the Yorkshire Post. "I'm not happy with a situation where I haven't won until now with Leeds United.
"But I think the players were 100% in the game, we tried to play and we tried to play with good possession. In the second half it was difficult against a hard and aggressive home team."
Leeds travel to Norwich City on Tuesday evening.