i read from some books that when you first start a baby on solids, you actually give milk first, then introduce cereal/semi-solids after the milk feed just to get the baby used to the taste, the texture and also being spoonfeed.
try for some time and then slowly you can give him cereal straight away.
and also, maybe you boy is too hungry to wait to be fed cereal and prefers his milk straight away.
each kid is different. my boy hates milk (like me), so no matter how hungry, he will just drink minimal milk and wait for his cereal, or prefers me to give biscuits while he waits for his cereal.