Low altitude, distance from the sea (the Adriatic sea is quite close, but it is too small to really play a moderating effect on Milan), the presence of the Alps shielding the plain from the cool winds of the Atlantic Ocean, subsidence due to the peculiar "arc" position of the mountains, almost no wind, heavy urbanization which keeps nighttime temperatures high. But, as others said, I don't find it particularly notable (although I do personally find it unbearable especially for the high humidity during night and consequent mosquitoes, but it is not the only one
).
WhiteWalls is right: the peculiar topography of the area makes that area a little more continental than what would be expected for that geographical position, but still nothing really extreme.
By the way, I still do not understand the widespread opinion that all the places at a given latitude should share the same climate. I do not find it surprising if at a certain latitude some places are warmer (or cooler) than others. I believe that latitude as a climate factor should be taken into consideration very carefully and mostly on a local scale.