The protein in the milk is still there. Poring cold milk into a hot drink will bring the temperature down far enough that the protein will not even coagulate. But even if heating the milk to the point that it will coagulate the protein is still protein, just in a different shape. The prime example of this is eggs which gets solid when heated enough. There is not enough protein in milk to make it solid but it will change properties and gets to be easier to foam. But it is still protein and will have the exact same nutritional value.
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