Gerrard wore the captain's armband throughout the World Cup finals after Ferdinand suffered an injury in training. There have been calls to make the Liverpool midfielder the skipper permanently with continuing doubts over Ferdinand's fitness.
Milner, who will be suspended for the next Euro 2012 qualifier against Montenegro after being booked in both of England's first two matches, said: "When you've got good players they are going to shine through. You know Steven Gerrard is another top player that we are lucky to have.
"He has shown his leadership skills. Not everyone has to be a shouter. He will do that, he'll have a word and shout at you when it needs to be done. But he leads by example on the pitch, without or with the ball, and we are lucky to have a player like that.
"I'm lucky to be able to look up to a player like that and learn as much as I can off him.''
Fabio Capello ignored questions about Gerrard taking on the captain's armband full-time. He said: "Is there another question? For me, the performance of the player is important, not the armband. It is not a priority for me. It is more about the players, the performance, the next game. Another question, please."
Milner feels Capello may now have the players and the system to perform better against more accomplished sides that Switzerland after the fine 3-1 win in Basle on Tuesday evening. He said: "I don't see why not. It is down to the manager how he wants to play.
"I think we've got the players in the squad to be able to play like that (against Switzerland) and other formations as well. If the manager wants to play three in there, if he wants to play a diamond, whatever, we've got the players who can change and play the way he wants to play.
"I think that helps and gives him options when we play against teams who play different ways. You have to be able to adapt your style."
Milner also praise Wayne Rooney for getting back on the goal trail against the Swiss. He added: "He probably deserved to get a goal against Bulgaria the other night because he was outstanding and created a lot of goals. He is a world class player so, whenever he steps out onto a football pitch, he is going to cause problems and score goals.
"As a striker you are judged by goals and if you go a few games without a goal, people are going to say stuff But he brings so much to the team anyway - work-rate, ability, setting up goals, the vision. It helps when he is scoring goals but he is bringing everything to the table anyway.''