The previous answer contained a major error/misconception, and I apologize for the dealy in correcting it. The answer to the question is "yes" locally in the Zariski topology but "no" globally.
Comparison of Milnor K-cohomology and motivic cohomology via edge maps:
Motivic cohomology has Zariski descent and hence there is a
descent/hypercohomology/Brown-Gersten-Quillen/coniveau spectral sequence computing the motivic cohomology of a smooth scheme $X$. On the $E_1$-page, the Gersten resolution of the sheaves $\mathcal{H}^q(\mathbb{Z}(n))$ (Zariski sheafification of motivic cohomology) appears. The entry $E_1^{p,q}$ is $\bigoplus_{z\in X^{(p)}}{\rm H}^{q-p}(\kappa(z),\mathbb{Z}(n-p))$ and the differential $d_1:E_1^{p,q}\to E_1^{p+1,q}$ is given by the appropriate residue maps.
The $E_2$-spectral sequence has the form
$$
E^{p,q}_2={\rm H}^p(X,\mathcal{H}^q(\mathbb{Z}(n)))\Rightarrow {\rm H}^{p+q}(X,\mathbb{Z}(n))
$$
and the differentials go $d_s^{p,q}:E^{p,q}_s\to E^{p+s,q-s+1}_s$.
This spectral sequence can then be used to relate Milnor K-cohomology to motivic cohomology. The relevant thing to note is the identification
$$
\tau_{\geq s}\mathbb{Z}(s)_X\to\mathbf{K}^{\rm M}_{s,X}[-s]
$$
which can be found e.g. in Section 3.1, Corollary 3.2 of
- K. Rülling and S. Saito. Higher Chow groups with modulus and relative Milnor K-theory. arXiv:1504.02669v2.
This statement basically says that $\mathcal{H}^q(\mathbb{Z}(n))=0$ for $q>n$ and $\mathcal{H}^n(\mathbb{Z}(n))=\mathbf{K}^{\rm M}_n$, where $\mathcal{H}^q$ denotes the motivic cohomology sheaves. (It also says that the answer is yes locally in the Zariski topology.)
From this vanishing statement, we get edge maps ${\rm H}^p(X,\mathbb{Z}(n))\to {\rm H}^{p-n}(X,\mathcal{H}^n(\mathbb{Z}(n)))$ because in the line $q=n$ there are no incoming differentials and so $E^{p,n}_\infty$ is a subgroup of ${\rm H}^{p-n}(X,\mathcal{H}^n(\mathbb{Z}(n)))$. Since $E^{p,n}_\infty$ is the last subquotient of the filtration of ${\rm H}^p(X,\mathbb{Z}(n))$ this provides the above edge maps. These would be the natural comparison maps (and they are also mentioned in Thi's answer.)
Comparison isomorphisms for $r=s$ and $r=s-1$:
To get the Bloch formula and the identification of ${\rm H}^{2n-1}(X,\mathbb{Z}(n))\cong {\rm H}^{n-1}(X,\mathbf{K}^{\rm M}_n)$, we need to show that there can be no outgoing differentials either. In the $E_2$-page, the relevant differentials for Bloch's formula are $d_s^{p,q}:{\rm H}^n(X,\mathcal{H}^n(\mathbb{Z}(n)))\to {\rm H}^{n+s}(X,\mathcal{H}^{n-s+1}(\mathbb{Z}(n)))$. The latter group is trivial, since on the $E_1$-page, the coefficients would be $\mathcal{H}^{1-2s}(\mathbb{Z}(-s))$ and the sheaves $\mathbb{Z}(-s)$ are trivial for $s>0$. The other relevant differentials are $d_s^{p,q}:{\rm H}^{n-1}(X,\mathcal{H}^n(\mathbb{Z}(n)))\to {\rm H}^{n+s-1}(X,\mathcal{H}^{n-s+1}(\mathbb{Z}(n)))$ with the coefficients in the $E_1$-page given by ${\rm H}^{2-2s}(\mathbb{Z}(1-s))$. For $s>1$, this is again trivial. In particular, all the outgoing differentials are trivial, so that $E^{n,n}_\infty={\rm H}^n(X,\mathbf{K}^{\rm M}_n)$ and $E^{n-1,n}_\infty={\rm H}^{n-1}(X,\mathbf{K}^{\rm M}_n)$. This also implies that the only $E^{n+s,n-s}_\infty$ contributing to ${\rm H}^{2n}(X,\mathbb{Z}(n)))$ is ${\rm H}^n(X,\mathbf{K}^{\rm M}_n)$, yielding Bloch's formula. To get ${\rm H}^{n-1}(X,\mathbf{K}^{\rm M}_n)\cong {\rm H}^{2n-1}(X,\mathbb{Z}(n))$ we need to show that ${\rm H}^{n+s-1}(X,\mathcal{H}^{n-s}(\mathbb{Z}(n)))=0$. The relevant coefficients in the $E_1$-page are $\mathcal{H}^{1-2s}(\mathbb{Z}(1-s))$. For $s=1$, we get $\mathcal{H}^{-1}(\mathbb{Z}(0))$ which is trivial, all the other terms are again trivial because $\mathbb{Z}(1-s)=0$ for $s>1$.
Failure of global comparison:
The natural comparison isomorphism fails to be an isomorphism in general. The simplest counterexample (pointed out by Jens Hornbostel) is actually $\mathbb{P}^1$. In this case, we have
$$
{\rm H}^r(\mathbb{P}^1,\mathbf{K}^{\rm M}_s)\cong \left\{\begin{array}{ll} {\rm K}^{\rm M}_s(F) & r=0\\
{\rm K}^{\rm M}_{s-1}(F) & r=1\end{array}\right.
$$
where $F$ denotes the base field. On the other hand, the projective bundle formula for motivic cohomology implies
$$
{\rm H}^{r+s}(\mathbb{P}^1,\mathbb{Z}(s))\cong {\rm H}^{r+s}(F,\mathbb{Z}(s))\oplus {\rm H}^{r+s-2}(F,\mathbb{Z}(s-1)).
$$
For $r=0$, we have ${\rm H}^0(\mathbb{P}^1,\mathbf{K}^{\rm M}_s)\cong {\rm K}^{\rm M}_s(F)$ and ${\rm H}^s(\mathbb{P}^1,\mathbb{Z}(s))\cong {\rm K}^{\rm M}_s(F)\oplus {\rm H}^{s-2}(F,\mathbb{Z}(s-1))$, so Milnor K-cohomology and motivic cohomology differ whenever ${\rm H}^{s-2}(F,\mathbb{Z}(s-1))\neq 0$. A particular instance where that happens is $s=3$ in which case ${\rm H}^1(F,\mathbb{Z}(2))\cong {\rm K}^{\rm ind}_3(F)$.
In the formulation of the descent spectral sequence, the spectral sequence is contained in the two columns for $p=0,1$ and degenerates at the $E_2$-term. The failure of the global comparison follows since $\mathcal{H}^2(\mathbb{Z}(3))$ has nontrivial first cohomology over $\mathbb{P}^1$, given by ${\rm H}^1(F,\mathbb{Z}(2))$.
Best Answer
Milnor K-theory gives a way to compute étale cohomology of fields (i.e. Galois cohomology): if E is a field of characteristic different from a prime l, there is a residue map from the nth Milnor K-group of E mod l to the nth étale cohomology group of E with coefficients in the sheaf of lth roots of unity to the n (i.e. tensored with itself n times). There is the Bloch-Kato conjecture, which predicts that these residue maps are bijectvive. It happens that the case l=2 was conjectured by Milnor (up to a reformulation I guess). The Milnor conjecture has been proved by Voevodsky (and it was the first great achievements of homotopy theory of schemes, which he initiated with Morel during the 90's), and he got his Fields medal in 2002 for this. Now Rost and Voevodsky claimed they have a proof of the full Bloch-Kato conjecture for any prime l (which should appear some day, thanks to the work of quite a few people, among which Charles Weibel is not the least). Note also that the Bloch-Kato conjecture makes sense for l=p=char(E), but then, you have to replace étale cohomology by de Rham-Witt cohomology (and this has also been proved by Bloch and Kato). Suslin and Voevodsky also proved that the Bloch-Kato conjecture implies the Beilinson-Lichtenbaum conjecture, which predicts the precise relationship between torsion motivic cohomology of varieties with torsion étale cohomology.
Milnor K-theory is related to motivic cohomology (i.e. higher Chow groups) in degree n and weight n H^n(X,Z(n)): for X=Spec(E), H^n(X,Z(n)) is the nth Milnor K-group. This is how homotopy theory of schemes enters in the picture (one of the main feature introduced by Voevodsky to study motivic cohomology with finite coefficients is the theory of motivic Steenrod operations). On the other hand, Rost studied Milnor K-theory for itself: among a lot of other things, he proved that, if you consider it as a functor from the category of fields, with all its extra structures (residue maps interacting well), you can reconstruct higher Chow groups of schemes (over a field), via some Gersten complex.
Milnor K-theory is also a crucial ingredient in Kato's higher class field theory.