Pep Guardiola’s side are still in contention for the Premier League, FA Cup, and Champions League, and they could lift their first trophy of the season when they face Chelsea in the League Cup final on Sunday.
Mills, who played for the Citizens from 2004-09, admitted they are the team most likely to challenge on four fronts, but believes they will need luck as well as ability in order to achieve the unprecedented feat.
"It's very, very difficult to win three, all four is virtually impossible,” he told Sky Sports News.
“A mistake, a bad refereeing decision, anything can happen that means you can lose a game.
"But off the back of that he's got such a strong squad and he keeps rotating the side.
"They won't be training much at the moment, they are all very fit, they all know how to play the way the system works. Everybody knows their jobs so it's just game after game after game.
"Sometimes that can work to your advantage and you get on this roll, you get this belief, this confidence that you can win every single game.
"They've got world-class players that even if they are not quite being brilliant at the moment they can still win the game.
"So if anybody can do it, City have the potential to win all four trophies – although that said, it can take just one mistake, one slip, a wonder goal, a bad decision that can cost you and you only win three and not four.
"The Champions League is the holy grail; for the owners that is the pinnacle. To say you're the best team in Europe, better than Real Madrid, Barcelona, Bayern Munich, that has to be what they are after.
"I don't think they have to prioritise one or the other. Their squad is so good they can go full tilt in the league and see what Liverpool do, and they can go flat out in the Champions League and see what happens in that."
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