Milenkovic was asked whilst away on international duty with the Serbian national team for the Nations League if he feels like it’s an honour to play for Forest this season.
"Yes, why not? Playing in front of Nottingham fans, playing at the City Ground, it’s enough to enter the stadium to feel the history, which is huge," he said.
"The fans have a great passion for football, they participate during the entire 90 minutes in every moment of the game and give us a really great support that we players feel on the pitch."
Adapting to life at the club has been a challenge for the 26-year-old as he explained the many differences in not just football but everyday life as well.
"It differs a lot from Serie A, the intensity is much stronger with more offensive and defensive transitions, it is physically more demanding than the Italian league. Serie A is known for its tactics, it is more about 'waiting', while in the English league 'they don't think much'.
"So far, I'm feeling great, the team accepted me in a great way, they helped me to adapt as quickly as possible and I'm grateful to them for that."
There are many cultural differences between England and Italy, but Milenkovic highlighted a few that he will miss the most after his move from the Italian giants.
"What do I miss the most? Well, certainly the climate, then the food, which is really top-notch," Milenkovic reminisced, but continued: "And again, English football, that is, the league, are the best in the world, which is the most important thing to me. I enjoy it."