Milinkovic-Savic was decisive with seven saves, including denying Christian Pulisic from the spot.
He said afterwards: "It's about the three points.
"I feel good, but it's about the team."
Asked if he can beat Samir Handanovic's six penalty saves in a season, Milinkovic-Savic added: "I always believe, but it's also good if Handa has that record."
Milinkovic-Savic has now made four penalty saves this season.
Related:
Milan
Torino
Vanja Milinković-Savić