I have an Aux Button in my car (2007 Mercury Milan Premier) but no Aux input?

I just purchased a 2007 Mercury Milan (08/06) and it has an Aux Button but when i push it it says "No Aux Input". I tried to find the input jack but there doesn't seem to be one. I know it's supposed to be in the center console, but there isn't one. Didn't this come standard with the '07 production? If it did is there anywhere else that it could be? Thanks!!