McMillan, who was in Dunedin yesterday to promote his book Out of the Park, was on the 2002 tour of Pakistan when a bomb blast outside the team's hotel in Karachi forced the players to return home.
"It's obviously a huge disaster and it is not like you can continue on with normal life," McMillan said of the terror attacks in Mumbai.
"I can understand England wanted to go home after being caught up in it."
"It [the bomb blast in Karachi ] affected me for quite a few months afterwards. I think you saw if from Flem [Stephen Fleming] at the press conference when he got back how much it affected him.
"Guys deal with it differently. I didn't really talk about it too much. I sort of kept it to myself and tried to deal with it.
"But there were times when you'd wake up in the middle of the night with that loud bang in your head. But it is something over time that dissipated. We were very lucky that we didn't lose anyone."
McMillan said it would be a huge shame for world cricket if teams stopped touring Pakistan and India.
India is a place the 32-year-old enjoys.
He has been part of the Indian Cricket league for three seasons and is contracted for another two seasons.
"Cricket is seriously a religion over there. Their fanaticism towards cricket is just unbelievable. You can walk down the street then suddenly have a group following you looking for a photo and an autograph."
On New Zealand cricket, McMillan is determined to remain an optimist.
But that does not extend to ignoring the flaws.
"I think it is fair to say we had some great opportunities in that first test [against Australia] that we haven't had for a number of years against them. So it was disappointing we didn't take those opportunities which were presented to us.
"I think the problem with this test will be Australia will get better. So maybe the horse has bolted.
"I don't think we can expect too much. We're the seventh-ranked side playing against the first-ranked side. We have to be realistic about where we are at.
"I think the test will be when we come back to New Zealand and play against the West Indies and how we actually go in that series."
He was also prepared to cut the much-maligned batting line-up some slack.
"People will see it as just an excuse but it is just a fact. We are young and inexperienced, and in key positions as well."
McMillan said opener Jamie How had under-achieved for a long time and he had doubts about Aaron Redmond's ability at test level.
Daniel Flynn was finding his feet and Jesse Ryder was batting out of position and better suited to No 5.
Ross Taylor impresses him as a player with the potential to be one of our best.
For the balance of the team he would like to see Brendon McCullum stay at No 7 and Dan Vettori at No 8.
"Dan, to me, is a very good No 8. The bowlers are a bit tired and he can come in and hit the ball to some funny places and really frustrate the bowlers. I wouldn't like to see him moved up."
McMillan is not well-acquainted with incoming coach Andy Moles but is pleased he was a batsman.
He hopes his expertise will help bring better results from the Black Caps' top order.
