How to complete a milestone on GitHub?

Update: this is an old answer for an old question. The nowerdays correct answer is the one by seeker.

Milestones now must be closed manually. --- A.J. Brown

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Simply creating and closing an issue for a milestone, will mark the milestone completed:

When all issues of the milestone are closed, the milestone should be closed as well.

--- Felix King

Thanks.

One way of interpreting the GitHub blog post Simpler Milestone Workflow is that Milestone state change via issues was disabled with the update on June 18, 2013:

Milestones will no longer change state based on any sort of issue assignment.

Edit: I contacted GitHub support regarding this, and they confirmed that it is indeed the intended behaviour.

Milestones are only closed manually. You can close a milestone by clicking the "close" link in the list of milestones. Note that for some reason, there is no "close" button in the milestone's details page, only in the list page of milestones.