Full-time score from Hillsborough
Despite an effort from Henderson, Millwall were unable to find a late leveller and came away from Hillsborough unlucky to be pointless after what Kenny Jackett described as a "spirited display".
As the seconds ticked by, The Owls continued to press forward and were rewarded for their efforts with 90 minutes on the clock. McCabe chipped a ball into Millwall's area and as the visitors struggled to clear, Llera forced the ball into the back of the net in a goal strikingly similar to his earlier equaliser.
Jackett replaced Josh Wright with Therry Racon in an attempt to stem the tide and the move nearly payed off as the midfielder found Henry only for the winger to fire disappointingly wide with Keogh demanding the ball to his right.
They were getting closer, and the equaliser inevitably arrived with 68 minutes on the clock. A cross was diverted onto the post, the ball eventually falling to Llera as the visitors failed the clear. The defender saw his first effort blocked, but the ball fell to his feet for a second bite of the cherry and he made it count to send the home supporters into raptures.
The Owls kept up the pressure. Chris O'Grady, a replacement for Gary Madine on 59 minutes, turned on a sixpence but his shot was saved well before the striker chested a Lewis Buxton cross straight at Millwall's keeper.
The home side came out for the second-half with added impetus, but Millwall remained calm and comfortable in possession early on. On 48 minutes, however, Wednesday penalty appeals were waved away after Rodri fell under pressure from Shane Lowry, before Johnson again tested Maik Taylor, the keeper this time coming out on top as the ball rebounded off of his chest.
The visitors pressed forward with Henry, and the goalscorer turned provider. His weighted through-ball found the run of Liam Trotter perfectly, the midfielder dinking the ball over the Wednesday keeper to see his side lead at the half-time whistle.
Sheffield Wednesday responded well, Rhys McCabe's effort saved by Taylor in the Millwall goal. A succession of corners followed, but they couldn't make the most of them, and were made to pay soon after.
No longer than 90 seconds later though, the visitors were deservedly level. Andy Keogh found himself in space on the right wing and found an unmarked James Henry, the winger curling a placed shot over the head of Kirkland to equalise.
With players struggling to stay on their feet at times, Jimmy Abdou capitalised on a slip in the Wednesday area but his low drive was blocked and subsequently cleared.
The rain began lashing down, and the change in weather seemed to turn the game back into The Lions' favour. Karleigh Osborne, making his second consecutive start for the club, broke onto a ball in the box but could only fire his half-volley over the bar with 25 minutes on the clock.
The Lions early joy was to be brief, however. Jermaine Johnson, The Owls' most lively attacking outlet to that point, cut inside from his left flank position dangerously for the second time but on this occasion rifled an unstoppable effort past Maik Taylor into the top corner with 20 minutes gone.
The Lions were unchanged from Tuesday's 2-1 success at Peterborough United and in an even start to proceedings, James Henry had the first chance of the game, his long-range effort too high to trouble Chris Kirkland in the Wednesday goal. A minute later, Darius Henderson found himself free in the box but Llera, dominant throughout, recovered to block before the striker could set himself to shoot.
With their home faithful behind them, Wednesday pressed for an equaliser in the second period, a goal which eventually came from Llera, who poked home at the second attempt following a goal-mouth scramble to bring the scores level at 2-2 with 22 minutes to play.
Kenny Jackett's men had turned around a first-half deficit courtesy of goals from James Henry and Liam Trotter to lead at the break after Jermaine Johnson's opener on 20 minutes.
Rhys McCabe pumped a late free-kick into the box which fell invitingly for the central defender, and he made no mistake in scoring his second of the game and The Owls' third.
A 90th-minute Miguel Llera goal broke The Lions resistance and ensured Sheffield Wednesday claimed all three points in an entertaining game at Hillsborough.
A full interview with the Millwall boss will be available on Lions Player shortly.