Thank you all.
I will have to presume the answer is no as I can't find any exceptions.
Urlord, thanks but that's a mammal that produces milk. :)
Nautilator, thanks but "live young" is also part of the definition of a mammal but montremes are an exception so I was wondering if there were exceptions to the milk rule.
Baloo55th, very clever, but mammal is a classification, not a sex. :)
Just to add that I think this is what I was searching for (so the answer is definitely no):
~ a study of genes and milk productions across the species of mammals.
"....it is produced by all species in this group and apparently has been for at least 160 million years...."
~ a study investigating genes linked with eggs and milk.
"All mammals have at least four physical traits in common. We all possess hair at some point - even whales and naked mole rats. We all have three bones in our middle ear that help amplify sound. We all possess a neocortex in our brains, a structure responsible for higher brain functions. And all mammal species can produce milk."