You might be thinking of a similar line from one of these skits:
* "Celebrity Jeopardy!" (various episodes) - Will Ferrell as Alex Trebek frequently makes up phrases like "Pack your bags, you're going to... (insert ridiculous location)" while hosting the game.
* "The Cheerleaders" (2001) - Ferrell plays Craig Buchanan, the leader of a group of over-enthusiastic cheerleaders. He might say something like "Pack your bags, we're heading to the championships!" but not specifically to Milan.
It's possible you're remembering a specific detail from a skit that you are unable to recall fully. If you can remember any other details, such as the year, the skit's premise, or other characters involved, it may be easier to pinpoint the exact skit.