Paceman Milnes, 22, was part of the team that clinched the 2012 County Championship after signing in 2011.
Lewis, 24, featured eight times in the T20 Blast this summer and McKay, 20, deputised for wicketkeeper Tim Ambrose.
"All three have given everything and it will be sad to see them leave," said director of cricket Dougie Brown.
"Sadly opportunities at senior level have been limited, since signing their first professional contracts, so we believe that it's in their best interests to look at new opportunities."
Warwickshire trio Tom Milnes, Tom Lewis and Pete McKay are to leave the club at the end of the season when their contracts expire.