On new manager Sean Dyche's debut, Forest won their tie against Porto 2-0 thanks to goals from Morgan Gibbs-White and Igor Jesus.
Afterwards, Milenkovic said: "It was a great night, a great win, and the clean sheet means a lot to us. We are so happy to deliver this win for the fans; they were incredible tonight, so we are happy, and we need to give them more.
"I think the key part tonight was keeping the clean sheet. It's been a tough period behind us, but we played very well, and I'm happy. We've only had two training sessions, but the new manager has brought a positive energy, for sure.
"We did a lot of the basics; we were compact on the pitch and more organised in defence. We need to keep moving forward because there are a lot of games ahead of us."