Good question! Projects are groups of Stories organized by a discipline or focus, like frontend, backend, marketing, CX, etc., but they can also represent any open-ended product, component, or initiative. Projects don't have a defined start or end date, and every Story in Clubhouse must be associated with a Project.
Milestones are a collection of Epics. Milestones are meant to provide a timeline view of your work, and to help with long-term planning. These also tend to have defined start and end dates.