Using DateList first and then using DateObject seems to work:
DateObject[ DateList[{"2014/01/09 07:24:36:985", {"Year", "/", "Month", "/", "Day", " ", "Hour24", ":", "Minute", ":", "Second", ":", "Millisecond"}}]] The fractional seconds are in the DateObject, but are not displayed.
Consider:
date1 = DateObject[DateList[{"2014/01/09 07:24:36:555", {"Year", "/", "Month", "/","Day", " ", "Hour24", ":", "Minute", ":", "Second", ":","Millisecond"}}]] date2 = DateObject[DateList[{"2014/01/09 07:24:36:100", {"Year", "/", "Month", "/","Day", " ", "Hour24", ":", "Minute", ":", "Second", ":", "Millisecond"}}]] FullForm[date1] FullForm[date1 - date2] This is directly visible by looking at the InputForm, e.g.
InputForm@date1 (* DateObject[{2014, 1, 9}, TimeObject[{7, 24, 36.555}, TimeZone -> -6.], TimeZone -> -6.] *) 