Tom Elliott's fourth goal of the season was not enough on Tuesday night as The Lions lost 2-1 to Sheffield Wednesday in the Sky Bet Championship at Hillsborough.
Adam Reach gave The Owls an early lead on the night, but Elliott converted on 13 minutes to level the scores.
However, Jordan Rhodes scored the winning goal just before half-time to give Wednesday all three points.
The Lions had Jake Cooper sent off late on for a second bookable offence.
Millwall boss Neil Harris made three changes from Saturday's 0-0 draw at Cardiff City, bringing Shane Ferguson, Fred Onyedinma and Elliott - for his full League debut - into the side at the expense of Aiden O'Brien, Steve Morison and Lee Gregory, who all dropped to the substitutes' bench.
Just three minutes in, with the first attempt on goal of the game, Sheffield Wednesday nudged themselves in front as Reach poked the ball past Jordan Archer.
On 11 minutes, the goalkeeper had to be as his best to tip Barry Bannan's long-range drive over the crossbar, but seconds later, The Lions levelled as Elliott stretched to prod home after Oneydinma's shot was saved by Keiren Westwood.
With the first-half becoming somewhat end-to-end, Archer had to be on hand after some slack defending allowed Liam Palmer the opportunity to shoot - the Scot tipping the ball wide for a corner-kick. Onyedinma, meanwhile, curled wide for Millwall on 27 minutes.
The Lions were finding gaps in The Owls' defence as the first-half came to a close, but were unable to find the goal that would take them in front, despite some intelligent build-up play.
Sheffield Wednesday, however, were the ones to take the lead shortly before the break, as Rhodes climbed highest to head a corner-kick past Archer. Right on the whistle it could have been 3-1, but the goalscorer's overhead kick crept wide of the post.
Five minutes into the second-half, Jed Wallace played the ball into the onrushing Ferguson, but the Northern Irishman was just off-balance and found his effort blocked by Westwood.
On the hour-mark, Cooper met Wallace's free-kick at the back post, but the defender headed straight at Westwood. A superb interchange of passing on 66 minutes sent Cooper in on goal, but Westwood came out to smother any potential clear-cut shot, with a combination of the defender and Oneydinma firing wide.
Rhodes found the roof of the net with a header, before a smart ball from George Saville sent Wallace in the clear with 20 minutes remaining, but the winger took too long to get a strike away, instead being tackled after twisting and turning inside the penalty area.
With a little over 10 minutes remaining, Wednesday could have made the game safe, but Rhodes struck the base of the post with a header. Thankfully for The Lions, the ball bounced clear to safety.
Archer pushed Jacob Butterfield's shot wide on 87 minutes, but Millwall could not find the equaliser, with Cooper's red card shortly before the whistle confirming defeat.
Sheffield Wednesday: Westwood, Fox, Rhodes (Jones 87'), Butterfield, Bannan, Loovens, Hooper (Fletcher 78'), Lees, Palmer, Reach, Wallace (Lee 71'). Subs not used: Wildsmith, Hunt, van Aken, Joao.
Scorer: Reach 3', Rhodes 43'
Millwall: Archer, McLaughlin, Meredith (O'Brien 73'), Hutchinson, Onyedinma (Gregory 66'), Ferguson, Wallace, Tunnicliffe, Elliott (Morison 80'), Saville, Cooper. Subs not used: Martin, Craig, Thompson, Romeo.
Scorer: Elliott 13'
Sent Off: Cooper
Referee: James Linington
Attendance: 23,403 (404)