Why does tea dissolve better when put in water rather than milk? I sometimes drink tea with or without milk. What I have noticed is that when I dip the bag in water the tea spreads out evenly and I have a cup of tea in like 5 minutes.

But when I do the same with milk in it, the tea takes forever to dissolve into the milk and even after a long time half of the milk is absorbed by the tea bag for some reason. 

Could someone explain me why this is happening?
Milk is an emulsion containing small bubbles of oil/fat. Whenever you boil milk or do something drastic, this fat tends to separate. You can do this nicely, and get cream or butter, preserving the bubbles, only part of the water content is separated, or can do more drastically, when these bubbles collapse to a big oily blob.

When you put your filter in the milk, most probably some of the oil/ fat bubbles hit the surface and cover it with an oily film. This film prevents the easy dissolution of caffeine, etc from the tea leaves in water.