When I read stuff about money I never believe at first. One day you're the worst in this, the other day worst in that, one day you're even the city most visited by aliens, it also depends on who's the one saying those things. Jealous ones are always ready to throw mud on you.
Of course Milan is not cheap and it's expensive: but "most expensive in the world" could be for tourists. Shopping in expensive fashion places or having a meal in a luxurious restaurant in the centre. Then so many cities are so expensive.
Watching the film "Blue Moon rising" about Manchester City, I noticed a sentence they said: we never left the city. Me too, I always lived in Milan: when sometimes I tried to live in other places (but for job), I came back immediately and/or angry (where the f**k have I been to?). In the end your city is your city.
And if Milan is really so expensive for tourists, then visit me :P