Juventus striker Barbara Bonansea netted twice as Italy came from behind, in their first appearance at the tournament for 20 years, to secure all three points.
Australia had taken the lead through Sam Kerr, with her first World Cup goal.
"We're not going to change our style because we conceded a goal," Milicic told a press conference, reported by fifa.com.
"We will always build up from the back. I'll always believe in that style, that's the way we want to progress up the field.
"We expected very much a stop-start game. It took the rhythm out of it but we need to overcome that.
"In the end I still think we could have done things a little bit better when we did have the ball."
Italy coach Milena Bertolini was pleased with the result over an Australian side ranked sixth in the world.
"I'm very happy with this result. But it only holds real value if we get out of the group, so let's wait and see how great it is," Bertolini said.
"In the first half, we didn't showcase our qualities. Australia were strong but we didn't do ourselves justice.
"In the second half, we wanted to show that we were superior than Australia and we improved a lot of things about our style of play."
