I based this comparison on the Milan, Italy weather blog by Alina Yurievna Shemetova.
Los Angeles is located on the coast of California while Milan is located in the interior of Italy. Both cities are in close proximity to mountains. The San Gabriel Mountains just east of Los Angeles and the Alps located just north of Milan. Due to the geography of the two cities, they experience inversions along with smog from the pollution.
Los Angeles is generally warmer than Milan on average.
(Source: weather.com)
Milan averages more precipitation than Los Angeles on average.
(Source: weather.com)
Milan will commonly experience snow in the winter while snow is relatively uncommon in Los Angeles. Milan is located at a higher latitude and is affected by much colder air masses than Los Angeles.