Milk, like all dairy, contains a lot of the sugar lactose which can be harmful to ketosis, promote inflammation, and impair digestion. For this reason, milk does not have a place in a Keto diet. This is okay since you can actually get all of the beneficial nutrients from milk in other Keto-Friendly foods.
Milk alternatives like coconut, almond, or cashew milk can make good options on Keto but as always, check the label. Many times these milk alternatives contain added sugar making their carb content too high. Searching for unsweetened options is your safest bet.