The chemical evolution of neutron capture elements in the Milky Way disc is still a matter of debate. We aim to understand the chemical evolution of r-process elements in Milky Way disc. We focus on three pure r-process elements Eu, Gd, and Dy. Using high-resolution FEROS, HARPS, and UVES spectra from the ESO archive, we perform a homogeneous analysis on 6500 FGK Milky Way stars, thanks to the automatic optimization pipeline GAUGUIN. We present abundances of Ba (5057 stars), Eu (6268 stars), Gd (5431 stars), and Dy (5479 stars). We chemically characterize the thin and the thick discs, and a metal-rich alpha-rich population. We find that the [Eu/Fe] ratio follows a continuous sequence from the thin disc to the thick disc as a function of the metallicity. In thick disc stars, the [Eu/Ba] ratio is found to be constant, while the [Gd/Ba] and [Dy/Ba] ratios decrease as a function of the metallicity. These observations clearly indicate a different nucleosynthesis history in the thick disc between Eu and Gd-Dy. We also find that the alpha-rich metal-rich stars are also enriched in r-process elements (like thick disc stars), but their [Ba/Fe] is very different from thick disc stars. Finally, we find that the [r/alpha] ratio tends to decrease with metallicity, indicating that supernovae of different properties probably contribute differently to the synthesis of r-process elements and alpha-elements. We provide average abundance trends for [Ba/Fe] and [Eu/Fe] with rather small dispersions, and for the first time for [Gd/Fe] and [Dy/Fe]. This data may help to constrain chemical evolution models of Milky Way r- and s-process elements and the yields of massive stars. Including yields of neutron-star or black hole mergers is now crucial if we want to quantitatively compare observations to Galactic chemical evolution models.