City host the Barclays Premier League leaders on Saturday, looking to maintain their 100 per cent record at the Etihad Stadium.
Manuel Pellegrini's men have won all seven of their home league games this term, notching an impressive 29 goals in the process.
This has contrasted with an away league record which features four defeats and Milner is at a loss to explain the difference.
He said: "Who knows? We have been playing pretty well away as well for most of the games, but we just haven't had the luck or we haven't finished our chances as well as maybe we have at home.
"But we are on form at home and we are scoring a lot of goals, so it is important we continue to do that."
But City will certainly take some encouragement from their most recent away performance - their stunning midweek fightback against European premiers Bayern Munich in the Champions League.
The gloss may have been taken off City's 3-2 win at the Allianz Arena by confusion over their understanding of the goal difference rules - they had to settle for second place in the group when another goal would have secured top spot - but it was still a notable result in the club's development.
It also came after Pellegrini made seven changes and Milner believes the form of the whole squad must be a good thing heading into the weekend.
Victory over Arsenal would lift City within three points of the top spot.
The England international, who scored City's winner in Germany, said: "I think with the quality we have in the squad, there is always going to be competition for places.
"When you train every day you have to perform and when you get a chance on a Saturday or in the Champions League, you just want to get out there and play well.
"I think it's healthy for the team that you have to play well to stay in it."
The Gunners were beaten by Napoli in their Champions League game this week to conclude their group programme on a low note, even though they still progressed to the last 16.
Yet in the Premier League they have been outstanding this term and that has come as no surprise to Milner.
The 27-year-old said: "Arsenal have always been there or thereabouts over the last 15 years or so.
"They are a top side and they have quite a young squad. The more games the young players get together, the more they are going to be coming into form and believe.
"You see the form some of their players are in - Aaron Ramsey in particular - has been outstanding this year.
"But as long as we play like we have been at home, hopefully we can get another good result."