If you need to export items with their milestone you can use a Custom List app available through the App Catalog to export a story along with its milestone.
1) Go to the custom page or dashboard that you wish to add the Custom List app to.
2) Click the Gear in the upper right of the page and select the Add App option
3) Select the Custom List (formerly Custom Grid) app from the catalog and add it
4) Select User Story for the Type and save
5) Add the Milestone column, along with any other columns you would like to export
6) Click the Import/Export/Print icon in the upper right of the Custom List app and select Export to CSV