The club was knocked out in the first qualifying round of the 2015–16 Europa League through a 2–3 defeat on aggregate against Slovenian team FC Koper.

[8] On 17 November 2017, it was announced that Milojević would join Swedish club Mjällby AIF ahead of the 2018 season, as an assistant coach and head of youth development.

[9] Competing in Ettan Södra, Sweden's third tier, he took over as head coach on 18 June when Jonas Andersson stepped down for personal reasons.

[11] In 2019, Mjällby won Superettan, Sweden's second tier, as newcomers, through 17 wins in 30 games, two points clear of Varbergs BoIS.

[13] On 19 December 2019, Milojević joined Red Star Belgrade as a first-team coach and assistant to manager Dejan Stanković.

[25] On 7 January 2022, Milojević was appointed new head coach of the reigning Allsvenskan champions Malmö FF, following the departure of Jon Dahl Tomasson.

[26] Milojević was relieved of his duties on 29 July 2022, the day after Malmö FF lost in the qualifying round of the 2022-23 UEFA Champions League to Lithuanian side FK Žalgiris by an aggregate score of 3-0.