How much time do you have? The fastest way would be to fly to Stockholm and then either change plane and continue to Visby:
Skyways is a company flying both from Stockholm's Bromma and Arlanda airports to Visby (many otherwise only fly from one or the other, or just Bromma, whereas your Milan flight probably take you to Arlanda):
You could also check what SAS has as they might have through deals Milan-Stockholm-Visby.
With more time, fly to Stockholm, then get a local commuter train from Stockholm city centre to Nynäshamn (about an hour south) and then catch a ferry, either high speed or normal. Here are the ferries:
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