Are there any further flights on the same ticket, after your arrival in Dubai? If you fail to show up for MXP-DXB, any other flights remaining on your ticket will automatically be cancelled. You should only ever consider this if Dubai was your ultimate destination according to the booked ticket.

I don't know how the changeover of passengers at MXP is handled - it may be that, at least when bound for DXB, that the through passengers are supposed to stay on board.

Disappearing without letting the crew know on the day is, however, usually considered a bad thing as they may delay the flight wondering where you have gotten to.

It could be that, asking to have your ticket changed to terminate in MXP, may end up resulting in some refund (at least of taxes).