The Citizens secured their first ever top-four finish in the Premier League last year. However, manager Roberto Mancini has continued to spend on his side, signing the likes of Gunners fullback Gael Clichy as City prepare to challenge for the Premier League title this campaign.
"We finished third last season, which was good, but we want to improve every season - and we're challenging," he told the Daily Star.
"We'll get on with our business, we know where we want to get to. Other clubs might fear City after last year and then this summer when they see the club spending money."
Milner joined the Manchester outfit at the beginning of last season in a player-plus-cash deal worth around £26m, including midfielder Stephen Ireland.