There's a legend linked to this place. It seems that the holes in this column were made by the horns of the Devil in person who came to Milan to discourage the local bishop to do its job for Milan's people. pretty cool!
Because the legend linked to this place say that if you try to listen to the noises coming from the holes you'll hear the noises coming from Hell. Also the holes should smell of sulfure, also coming directly from Hell.
It's near the beautiful roman cathedral of st. Ambrogio