Depends. Are you playing competitively or in-game only?
I went with Modest on my Milotic because Milotic completely does not need the physical Attack stat. You could use Bold if you're playing competitively and are worried about taking physical hits, though as far as I can see there aren't too many physical attacks that are going to hurt Milotic. Okay, there's Ghost, and Shadow Ball is pretty common; but the other common physicals are Earthquake (to which Milotic is resistance) and Rock Slide (ditto,) Dragon (and you'd have to be off in the head to use a Dragon against Milotic since I've never seen one that doesn't carry Ice Beam) and Fighting (mostly un-STABbed Brick Breaks.) If you're concerned about lack of staying power Bold would be a suitable nature. But if you're in it to win it and you want to hit like hell, Modest is better.