Ajax, Barcelona, Juventus and Porto complete the quarter-final line-up, and Milner hopes as many English teams as possible make the last four.
Liverpool's run to the final previous year signalled a re-awakening and this season, with holders Real Madrid, Bayern and PSG all out, the odds are shortening on the first all-English final since United beat Chelsea on penalties in Moscow in 2008.
Secondly there is no joy in the other English teams being there.
Whether he was joking or not, it's fair to suggest that Juventus knew exactly what they getting when they signed Ronaldo from Real Madrid last summer.
"Every team left in the competition is a good side", said Milner.
Messi, whose brilliance was key to Guardiola's two Champions League triumphs with Barcelona, is just as risky as Ronaldo and it will be intriguing to see whether any of England's four clubs can find a way to overcome the game's two modern greats.
But Sherwood thinks that while they may have more games to play by remaining in both competitions, they are right not to prioritise.
The Champions League final will be held in Madrid on June 1, with England set to play their semi-final in Portugal five days later, leaving him little time to work with his players.
"I don't see why not when he's gone to PSG with the team he's got and won", said Giggs, when asked if his former team-mate Ole Gunnar Solskjaer could land European football's biggest prize while in caretaker charge at Old Trafford.
"They are playing brilliantly and the results have been unbelievable".