The vice-captain played his last game as a Red at the famous stadium, appearing as a substitute in the second half of the 1-1 Premier League draw with Aston Villa.
There were emotional scenes at the end of the game with special presentations and tributes paid to the departing Milner, Roberto Firmino, Naby Keita and Alex Oxlade-Chamberlain.
Milner has spent eight seasons with the club, made more than 300 appearances and lifted seven of football's biggest prizes in that time.
"I've loved every minute here," he told Liverpoolfc.com. "Unbelievable club, the size of the club, the history before you come in, and we've managed to create our own history.
"Travelling around the world, seeing the support we have, the special nights we've had here, the European nights, the unbelievable games, obviously Dortmund and Barça always stand out but other periods in games. Those memories will stay with you forever.
"I'm Leeds through and through and always have been and always will be – but I never probably thought that another club would get into me as much as Liverpool has.
"That says everything about the place and the fans and the history and what we've created here, but also the group of people.
"I've been lucky enough to share that dressing room and the people at the training ground and the people that have been here so long – that's what football clubs are about.
"I've been lucky enough to play here for eight years and ultimately the club belongs to the fans. I've been lucky enough to wear the No.7 shirt and [it] probably won't be seen in the full-back positions again maybe! But hopefully I've filled the shirt with everything that a Liverpool player should.
"It's going to be sad to leave and [leave] the people but I'm looking forward to the challenge. I'm fortunate now that we've managed to achieve what we have and pretty much what you wanted to achieve when you come here. That doesn't happen too often, does it?"
Read on for the rest of our interview with the midfielder...
Before we talk about your legacy here, it's a frustrating end to life at Anfield with the result, isn't it?
Yeah, disappointing. I think obviously the run we've been on and we wanted to finish the season at a canter like we have been and put pressure on the top four. Unfortunately today it wasn't our best performance, conditions weren't easy, hot, got a bit dry, the pitch and things like that, and didn't quite deal with it well enough. But we showed fight to go to the end and were pushing for that winner but unfortunately it didn't come.
Of course Bobby was always going to get the goal that got us back into it...
It's a class finish for him at Anfield obviously to get a goal. He deserves it. What he's done for the club and the goals he scored, it was a fitting [way]. If he could have got one more, that would've been even better! That sums him up, doesn't it? Coming on and scoring at the Kop end – amazing.
Give us an insight on him before we talk about you. I don't think there's been as many popular players as him...
He's such a calm guy, always smiling. I'm still trying to work out, after this long, if he's just smiling and nodding because he doesn't understand me! Sometimes I try Spanish, sometimes I try English. But the language he does talk is football obviously. What a player, wow. He's got everything – touch, dropping off, can change games on his own, pressing, selflessness, passing, ridiculous celebrations, look-away finishes. You name it, he's got it. Great guy but the stuff he does for the team, it's been amazing to play with him. It's one of those where you look at the stat book and you say he's a No.9 and the goals he's scored are important as well. Not as prolific as Mo but when you see him play and how much he does for the team without and with [the ball], the positions he takes up, gets us playing, receiving it in tight areas, he's unbelievable.
How easy is it to talk about yourself at this point? You've been involved in everything that's been brilliant about this team...
To be fair, I get more emotional talking about the boys. I get more emotional when it's about other people. It's been amazing how eight years has gone like that. It's been a special time and the stuff we've achieved together, the journey we've been on – when the manager came in, before the manager came in and things like that, and you see how the team evolved and what we managed to achieve. I wanted to come here and win trophies and have success. There wasn't too many trophies in the recent history before I came and it was like, 'Can you change that? Can you go and win a league title?' That was the big aim obviously, that's the one we knew the fans wanted. To walk away now and know that's been done and achieved, that's amazing and that's exactly why I wanted to come here and we've managed to do that.
In terms of the fans, they've been incredible for all of your time here. Has it dawned on you that you're going to be coming back here when you're 60-odd years of age, talking about these moments and about the history you've created with these lads?
No, not yet! That's probably not too far away, to be honest! I'm a believer in just taking it a game at a time. Obviously today it was the last game at Anfield and we've still got one more game to go next week and it'll be nice to sign off with a win. The memories that you've got with the boys and the games you've played, the parades and things like that – they're the memories and the days that you work so hard for all the time. You can go anywhere in the world and there's Liverpool fans everywhere – it's ridiculous. It's an amazing club and I'm proud and happy to have been part of it for this long.