The former Sturm Graz boss was appointed as head coach of the Championship club in September, succeeding Dave Hockaday.
However, he lasted just six games before president Massimo Cellino opted for another change in management, in the wake of a 2-1 defeat to Wolves at Elland Road.
Milanic's departure was announced by Leeds on Saturday, yet he claims his contract is still ongoing and insists he will not terminate the deal.
"My contract was not terminated, I'm on paid leave," he told RTV Slovenija.
"During this time I must be ready all the time to once again take over the team, if requested by the owner.
"My contract continues to run and I'm on vacation. I signed for two years and I will not terminate my contract."
A former Yugoslavia and Slovenia international, Milanic had previously managed at Maribor before coaching Sturm Graz and eventually opting to move to Elland Road.
While Cellino's hiring and firing has so far raised plenty of eyebrows, Milanic does not regret his decision to take charge of the West Yorkshire club.
"Despite everything I do not believe I made a mistake by joining Leeds," he added.
"I just wish that somebody would believe in me. Sometimes managers just need some support."
