The warning is being introduced on wrappers to meet legal requirements, according to the company.
"We want people to know allergens are listed on all products," Cadbury said.
The warning will be made on wrappers in capital letters encased in yellow boxes saying "Contains: Milk".
Cadbury is also introducing a warning on bars of Dairy Milk Whole Nut, saying "Contains: Nuts, milk".
Moira Austin, of the Anaphylaxis Campaign, a group which works to support people who suffer risk from life-threatening allergic reactions, also known as anaphylactic shock, suggested Cadbury was going one step too far with its new wrapper warnings.
Austin said: "The law requires manufacturers to list allergens if they are an ingredient. It does not require these additional warnings.
"I suspect Cadbury has a policy of listing allergens clearly on all its products so that people know where to look."
Cadbury's move is not unprecedented, after Tesco put labels on milk cartons saying they contained milk three years ago, and also warned that bags of assorted nuts contained nuts.