The milk is all gone, There is no milk left & We have used up all the milk

It sure sounds to me like three ways to say the same thing. If you really need another, I would say "We're out of milk."

All three are correct. The third one is a bit different in that it specifies the agency causing the situation, i.e. "we"did it. 1 and 2 do not e.g. the cat could have drunk it, or it could have simply dried up. "No milk no more, zero, zip, nada.""