Millwall claimed a point at Oldham Athletic on Saturday afternoon in a goalless draw, but missed two penalties late on as Connor Ripley saved from Lee Gregory.
Neil Harris made four changes to the starting line-up that played out a goalless draw with Chesterfield on Tuesday night. Shaun Cummings, Jake Cooper - returning from suspension - Calum Butcher and Harry Smith replaced Mahlon Romeo, Shaun Hutchinson, Ben Thompson and Fred Onyedinma.
Amidst a torrential downpour at Boundary Park, a quiet start to the game saw both goalkeepers rarely troubled, with the first shot of note coming on 17 minutes, as Tom King comfortably dealt with Ollie Banks' effort.
On 24 minutes, David Worrall's looping cross found the head of Smith, but his powerful header agonisingly crept wide of Ripley's post.
Paul Green headed over from ex-Lion Chris Taylor's cross three minutes from the break in the final action of the first-half.
The second-half was just four minutes old when Tope Obadeyi danced his way through The Lions' back-line, but he flashed his shot wide.
Just a minute later, O'Brien was presented with the opportunity to hand Millwall the lead following good work from Butcher, but the Irishman fired over the crossbar from just outside the six-yard box.
The Latics came close to breaking the deadlock in the 56th minute, but Obadeyi's effort across goal went wide of King's upright.
The Lions had a chance of their own 62 minutes, but after good work from substitute Onyedinma, a combination of Butcher and Gregory failed to get a shot away, allowing Oldham to clear to safety.
The fresh Onyedinma was causing The Latics problems and he nearly opened the scoring on 64 minutes after good play from Smith and Gregory. However, Oldham captain Peter Clarke was on hand to clear the winger's goal-bound attempt off the line.
King reacted well to save Banks' low grubber on 74 minutes, whilst four minutes later, Smith headed into the hands of Ripley at the other end.
With one minute remaining, Gregory won The Lions a penalty after being brought down by his marker. The striker dusted himself down and stepped up to take the kick, but his tame shot was saved by Ripley.
Three minutes into injury-time, The Lions won another penalty following handball in the Oldham wall from a Williams free-kick.
Once more, Gregory stepped up, but his effort, struck the opposite side to his first, was saved once more by Ripley in the final moment of the match - a 15th unbeaten for Millwall.
Oldham Athletic: Ripley, Wilson, O'Neill (Fane, 79'), Banks, Amadi-Holloway (Ngoo, 79'), Taylor, Hunt, Clarke, McLaughlin, Green, Obadeyi (Flynn, 70'). Subs not used: Law, Croft, Edmunds, Erwin.
Bookings: O'Neill, Taylor, Ngoo
Millwall: King, Cummings, Craig, Williams, Worrall (Ferguson, 75'), Gregory, Butcher, Webster, O'Brien (Onyedinma, 57'), Cooper, Smith. Subs not used: Hutchinson, Thompson, Romeo, Abdou, Girling.
Referee: C Boyeson