Brazilian Roberto Firmino levelled the scores again, but Milner has urged Liverpool to be more cautious in defence.
"I think when you're in position like that, at this level you've got to see the game out," the Englishman told Sky Sports News. "You've got to be more boring.
"All the goals were our fault and that's something we need to learn from because it seems to be a theme for us this year. We play such good football and sometimes we just need to switch that off for five to 10 minutes in a game and learn about the game and sense the situations.
"When it is time to take it easy, play a bit tighter and keep the ball a bit longer - rather than trying to break every time. Against good teams, at this level, you get punished and it happened [on Friday]."