The recent 5-0 thrashing of Aston Villa suggested that City were back to their attacking best, but they missed the chance to reclaim top spot in the Premier League after the stalemate at Stamford Bridge.
Milner admits that City are not regularly killing off games when they are on top, but believes it is a good sign that they are disappointed with such a result.
"Any time you come away from a ground like this, against the European champions, and end up being disappointed not to get a win is a positive thing," said the midfielder.
"We were the better side, we had the better chances and restricted them to not too many. I thought we played a good game and didn't quite get the three points.
"We have got things to work on. We need to take our chances - we had a number of corners and chances that didn't go our way.
"When we are on top in games and have territory and chances we are not quite putting teams to bed like we should be.
"Hopefully we can improve on that during the season. There are positives and negatives to take out of the game."