Some people say because of the major protein, casein being white and that also calcium is white.
It would appear that this is not correct – it is all to do with light.
I found this on a university science website, ‘the whiteness is due to the scattering of light by the colloidal particles of the milk emulsion. Just the fact that we get white shows that there is no absorption, so whatever is there is transparent. This is true of most whites. The excellent white pigment titanium dioxide is actually made of clear crystals, dispersed as colloidal particles. Nearly all whites are the result of scattering from colloidal-sized particles.
‘Colors, like green, may be produced in transmission by absorption of other colors; no such process can produce white, which in fact is a subjective color, existing completely in the visual sense. White is a very special color.’
There you go!