[Death] wouldn't be for her a question of a flying leap and thereby of a quick escape. It would be a question of taking full in the face the whole assault of life." (184.108.40.206)
When Susan wonders if Milly is thinking about committing suicide, she quickly dismisses the thought because she knows that Milly is a fighter. Milly isn't going to take the easy way out just because she's sick. She's going to do all the living she can while there's still time.
[Milly] wouldn't have committed suicide; she knew herself unmistakably reserved for some more complicated passage; this was the very vision in which she had, with no little awe, been discovered." (220.127.116.11)
In another meditative moment, Susan convinces herself again that Milly will not commit suicide, despite the odd message of farewell that she's written on the book she's been carrying with her. Ultimately, Milly is destined for something more complicated than suicide, which strikes Susan as too simple and straightforward for her.
"Insist, insist—the more the better. But the day I look as sound and strong as that, you know […] on that day I shall be just sound and strong enough to take leave of you sweetly for ever." (18.104.22.168)
Milly has a bit of a morbid sense of humor, which makes sense when you realize that she's terminally ill. After Susan says that she wants Milly looking good, Milly says she'll never look as good as she will at her funeral, because then she'll be totally immune to injury and sickness. You know, because of the death and all.
"Since I've lived all these years as if I were dead, I shall die, no doubt, as if I were alive." (22.214.171.124)
Milly feels as if she's lived most of her life playing it safe and not really taking risks. But now that she realizes she's dying, she's determined more than ever to live and to enjoy life to its fullest.
"I can go for a long time […] That will be one of my advantages. I think I could die without its being noticed." (126.96.36.199)
Milly has a lot of faith in her ability to drag out her illness for a long time. In fact, she's confident that she can drag things out for so long that no one will even notice when she dies, because she'll have been sick for so long.
[She] had been treated—hadn't she?—as if it were in her power to live; and yet one wasn't treated so—was one?—unless it came up, quite as much, that one might die." (188.8.131.52)
Milly finds it ironic that, for the first time in her life, somebody (Sir Luke) is treating her as if she has the power to truly make her own decisions and to live life the way she wants. But she's only allowed to do this in light of the fact that she's going to die. If she had a future to worry about, there'd still be people hovering over her and judging her decisions.
With that there came to her a light: wouldn't her value, for the man who should marry her, be precisely in the ravage of her disease?" (184.108.40.206)
At a late stage in the book, Milly comes to the terrible realization that men might actually want to marry her because she's terminally ill and not in spite of it. After all, whoever marries her will inherit all of her vast fortune after she dies, which she surely will soon enough.
"I think I should like," said poor Milly after an instant, "to die here." (220.127.116.11)
When Lord Mark asks her if she'd like to live in Venice, Milly replies that she'd actually like to die there. She knows that her time is fast approaching and that nothing can stop it. One thing she does have control over, though, is where she dies.
Milly felt, he could see, the difference; he might as well have praised her outright for looking death in the face." (18.104.22.168)
Merton is not supposed to show that he has knowledge of Milly's illness. He's supposed to make it look as if he wants to marry Milly and live with her for many years. But when he shows that he has knowledge of her illness, Milly gets suspicious about his motives for marrying her (like, ahem, her money).
"Our dear dove then, as Kate calls her, has folded her wonderful wings." (22.214.171.124)
In one of the prettiest lines in the whole novel, Aunt Maud informs Merton that Milly Theale has succumbed to her illness and died. Throughout the book, people have called Milly a dove because of her gentleness and beauty. We learn that Milly has symbolically "folded her wonderful wings," meaning she has died.