Mills said he was on tour with McCullum with the New Zealand team in England shortly after the IPL tour.
"Not long after that tour, maybe in early 2009, Brendon McCullum mentioned that Chris Cairns had approached him about spot-fixing in cricket games," said Mills.
He could not recall details of the conversation but said he "was pretty gobsmacked at that statement alone".
Ms Wass asked whether the pair discussed reporting the alleged approach to cricket authorities.
"At that time, we were taken aback. Now in international cricket, we get really good education about it from the anti-corruption unit [in the International Cricket Council]."
Mills recalled a meeting with John Rhodes, from the anti-corruption unit, and the New Zealand team around 2010 or 2011.
After that presentation from Mr Rhodes, Mills said, he and McCullum discussed the alleged approach from Cairns.
"We said, 'Mate, you've got to tell John Rhodes about that approach Cairns made'."
Under cross-examination from Cairns' lawyer, Orlando Pownall, QC, Mills agreed that McCullum mentioned only the alleged approach from Cairns in England, not the alleged approach in India.
He could not recall if McCullum told him that Lou Vincent or Daryl Tuffey were allegedly matchfixing with Cairns, according to what McCullum told him.
"I'm 100 per cent certain [that McCullum alleged Cairns had approached him]. I'm not 100 per cent certain about Lou Vincent or Daryl Tuffey."
In giving evidence yesterday, McCullum conceded he did not mention Vincent or Tuffey in any official statements until last year.
Mr Pownall also questioned Mills on why he didn't report what McCullum had told him about Cairns, which could be a breach of the anti-corruption code for players.
Mills said education about corruption in sport had improved since McCullum told him about the alleged approach from Cairns.
The next witnesses expected to give evidence overnight were Andre Adams, another former New Zealand player, and Lou Vincent's former wife, Ellie Riley.