Has your son seen the dentist yet? If not, you can use that visit to initiate the change. When you visit the dentist, they will very likely advise you to stop giving your son milk at bedtime as it often leads to decay. When you get home, tell your son that the dentist said he cannot have milk in his sippy cup any more. He's a big boy now with strong healthy teeth and milk at night is not good for his teeth.
I am not a fan of crying it out, as some have suggested. But if you have a story to tell and you repeat the story, they often adjust quickly. He can still have his sippy cup (that's probably what he's really after anyway) but he can only have water at bedtime. Milk is for daytime snacks or meals.
Being in Colorado, I do feel it's important to allow the children access to water at night. It's so dry here. Heck, I get up in the middle of the night for a drink sometimes. They should be able to also.
Keep the sippy, lose the milk.