Dean Moxey kept his nerve to fire Derby County into the fourth round as The Lions suffered FA Cup heartbreak following a dramatic penalty shoot-out at Pride Park.
Steve Morison put Millwall within touching distance of beating their Championship opponents in Tuesday night's third round replay when he fired Kenny Jackett's men into a 108th-minute lead.
But with The Rams facing the prospect of humiliation in their own back yard, Steven Davies hauled the home side level with just four minutes remaining to set up a nail-biting finale that ultimately ended in bitter disappointment for the brave Lions.
Derby made no mistake with all five spot-kicks perfectly executed, and it was the unfortunate Danny Schofield who was the only Lion to be denied with his firm effort crucially parried by keeper Stephen Bywater at full stretch.
Ten days ago the two teams met at The Den, and yet again there was little to separate the sides in freezing conditions, with Kenny Jackett's League One outfit matching Nigel Clough's Rams stride for stride in a keenly fought contest.
Home boss Clough had blasted his team following their shambolic 4-1 home defeat by Scunthorpe at the weekend, and his men offered little as an attacking threat during a quiet opening.
However, the game sprung into life after nine minutes - and it was Millwall who could have made the breakthrough.
Dave Martin's persistence on the left eventually paid off when he won possession from Paul Green virtually on the by-line.
Martin squeezed over a cross that found Morison, but the latter's effort flashed across the face of goal and behind for a goal-kick.
Derby responded quickly and wasted a glorious opportunity to go ahead two minutes later.
Stephen Pearson was sent clean through on goal, only for Lions keeper David Forde to narrow the angle before blocking Pearson's effort with his legs.
Despite the arctic conditions, both teams warmed to the task and went about providing an entertaining opening half.
On 14 minutes Jimmy Abdou's hooked forward pass picked out Hackett on the right, but with Jack Smith steaming forward in support, Hackett opted to shoot rather than pass to his unmarked teammate, and his shot floated wide.
Abdou's header from a Hackett corner was blocked on the line and then Lewis Grabban steered the ball a yard wide after Morison picked him out with a slide-rule pass.
Back came The Rams though, with Chris Porter spurning a couple of glorious chances, heading wide from close range and then scooping an effort hopelessly over from 12 yards with the goal at his mercy.
A long throw by Scott Barron, a replacement for the injured Andy Frampton, was headed on by Morison to Hackett, with the latter's stinging first-time volley flying just over as The Lions again asked questions of the home defence.
But it was Derby who so nearly broke the deadlock deep into first-half injury-time when Kris Commons' angled effort a whisker away.
Clough's men came flying out of the traps in the second half, and the lively Commons lobbed narrowly wide of goal on 52 minutes, before seeing his deep cross headed across the face of goal by Jake Buxton a couple of minutes later.
Porter saw his header hit the underside of the bar and then an almighty goalmouth scramble was eventually cleared as The Lions weathered a brief spell of Derby pressure.
But as the game wore on, so did Millwall's dominance with Jackett's men looking the more likely of the teams to go on and win.
On 80 minutes, a sublime piece of skill by Martin saw the winger sprint into the danger zone, but with Morison screaming for the ball in a central position, Martin opted to go for glory, and unfortunately sent his shot crashing into the side netting.
Then, with just two minutes remaining, Martin worked himself into a similar position and on this occasion clipped over a perfect delivery for Morison, who headed straight into the hands of grateful keeper Bywater from six yards.
And so to extra time...
Lions left-back Barron was agonisingly close to scoring a spectacular opener with the best opportunity of the first period when he let fly with a stunning 25-yard rocket that smacked against the upright with Bywater stranded.
Millwall finally did break the deadlock in the 108th-minute when Morison's header from a Hackett corner was touched onto the post by Bywater, but he could do nothing to prevent the Lions striker lashing the follow-up into the back of the net to spark wild scenes of jubilation amongst the visiting fans.
Sadly just four minutes later The Rams were back on level terms when an over-elaborate backheel by Hackett handed possession to Derby, the ball was played out to the right flank where Davies cut in and then lofted the ball over Forde for the equaliser.
There was still time for Morison to weave his way into the penalty area, before running out of space and firing into the side netting and also Marc Laird to curl just wide of the post as Millwall tried in vain to conjure a late, late winner that their overall performance warranted on the night.
But come the penalty shoot-out, the only factor that could separate the two teams following two absorbing third round clashes was one crucial penalty save enabling Derby to take their place in the fourth round.
Derby County: Bywater, Green, Addison (Barker, 40mins), Croft (Davies, 61mins)|, Savage, Commons (Teale, 79mins), Porter, Pearson, Buxton, Johnson, Moxey. Subs not used: Deeney, Connolly, McEveley, Hulse.
Bookings: Pearson (16mins), Teale (120+2mins)
Scorer: Davies (114mins)
Millwall: Forde, Smith, Frampton (Barron, 33mins), Abdou, Robinson, Ward, Martin, Laird, Grabban (Schofield, 63mins), Morison, Hackett (Dunne, 119mins). Subs not used: Sullivan, Grimes, Fuseini, Price.
Scorer: Morison (108mins)
Derby: Davies 1-0
Millwall: Martin 1-1
Derby: Savage 2-1
Millwall: Schofield MISS 2-1
Derby: Porter 3-1
Millwall: Smith 3-2
Derby: Teale 4-2
Millwall: Morison 4-3
Derby: Moxey 5-3
(Derby win 5-3 on penalties)
Ref: D. Foster