Definitely not lactose intolerance which causes stuff like bloating, diarrhea and cramps.
It could be an intolerance or allergy though.
EDIT: Here's a short article from the NY Times...
The Claim: Milk Makes You Phlegmy
Many people believe milk leads to upper-respiratory congestion, but studies have generally dismissed it as an old wives’ tale. In one well-known experiment, scientists found that even people inoculated with the common cold virus did not exhibit a statistically significant increase in symptoms or nasal secretions when they drank milk.
But a new report suggests a possible explanation: only a small group of people are susceptible. The theory is described in Medical Hypotheses, a journal devoted to publishing bold and sometimes radical biomedical theories.
In their report, the authors point to studies showing that not all milk is the same. Some types of milk, from certain breeds of cow, contain a protein called beta-CM-7, which has been shown in studies to stimulate mucus glands in the digestive tract. These glands are also found in the respiratory tract, where they are known to overproduce mucus in conditions caused by inflammation, like asthma.
The authors assert that consuming milk containing the beta-CM-7 protein may stimulate phlegm in the respiratory tract, particularly in people with chronic lung conditions.
“These prerequisites,” they write, “could explain why only a subgroup of the population, who have increased respiratory tract mucus production, find that many of their symptoms, including asthma, improve on a dairy-elimination diet.”
THE BOTTOM LINE
There may be a link between milk and phlegm in some people, but for now it is only hypothetical.