City were dealt a massive blow in the race for the Premier League crown after being beaten 1-0 by Arsenal on Sunday, but Milner does not want his side to finish with a whimper.
Milner said: "We just have to concentrate on ourselves.
"It is about learning as you go and taking the positives. It is important we step up now and finish the season strongly.
"We have not finished yet and will keep fighting until the end."
City take on West Bromwich Albion on Wednesday night.