Full-time score from The Den
Sub Chris Maguire snatched a dramatic injury-time winner as Sheffield Wednesday pulled off a smash and grab raid at The Den.
Jimmy Abdou had given Kenny Jackett's side a dream start scoring his first ever home goal with just 92 seconds on the clock.
But a Miguel Llera free-kick levelled for the visitors late in the first half before Maguire hooked home in the dying seconds from a Danny Pugh corner.
It was a desperate defeat for The Lions, who have suffered a wretched run of form at home since the turn of the year winning just once in the Championship - on New Year's Day.
"Sheffield Wednesday are a big side and good at set pieces," said Jackett, "We conceded two from set pieces and on the first one it seemed that David Forde misjudged the flight of the ball, but he has had a magnificent season and been excellent for us. The second one we conceded at a corner when perhaps we were asleep at the near post."
And although there is the mouthwatering prospect of an FA Cup Semi Final against Wigan Athletic on the horizon this Saturday, few could accuse The Lions of not being focused as they really did deserve at least a share of the spoils from this crunch clash.
Jackett handed a full first team debut to Chelsea loanee George Saville, whilst Abdou and Jermaine Easter replaced Liam Trotter, Richard Chaplow and Liam Feeney.
And there were under two minutes on the clock when a mazy run by Chris Taylor took him into the heart of the danger zone and his inviting delivery was swept home by the onrushing Abdou at the far post giving Chris Kirkland no chance in the Wednesday goal.
It could have been 2-0 shortly after when Kirkland did well to smother the ball at the feet of Rob Hulse before Shane Lowry twice tried his luck from distance, dragging a left foot effort narrowly wide and then floating a free-kick straight into the keeper's hands.
However it was Wednesday who struck next when Llera, who scored twice when the two last met in August, stepped up to curl a free-kick around the wall with the bounce taking it beyond the despairing reach of Lions keeper David Forde.
Taylor nearly went from goal-maker to goal-taker on 44 minutes when he got a touch to Lowry's driven cross, but the ball took a deflection and fell conveniently for Kirkland to gather.
Referee Philip Gibbs made the first of three big decisions seconds before the break when Easter threatened to break clear on goal and appeared to be held back by Anthony Gardner, but no free-kick and card - yellow or red - was brandished to the visiting skipper.
Millwall enjoyed a sustained period of pressure early in the second half as Wednesday were once again slow out of the traps.
Easter wasted a good chance 10 minutes after the restart, and shortly after manager Jackett made a double substitution, bringing on James Henry and Shaun Batt, recalled from his loan spell at Leyton Orient, for Rob Hulse and Saville.
Batt made an immediate impact with his first touch a raking delivery across the face of goal that was begging for a connection.
Moments later Henry produced a sublime pass straight through the middle for Easter, but he fired straight at the feet of Kirkland and the opportunity was lost.
The Owls keeper was certainly busier than his opposite number Forde, and again was called into action parrying Taylor's curling effort before clearing Sean St Ledger's acrobatic overhead kick.
There were appeals for two penalties waved away by the officials in quick succession when first Danny Shittu's cross appeared to strike the stray hand of an Owls defender and then Taylor was sent sprawling but again play was waved on.
The longer the game wore on without Millwall adding a second goal, the more that nagging feeling that Wednesday would score themselves grew.
Sub Jermaine Johnson sent a stinging shot whistling a whisker wide with 12 minutes left.
The visitors turned the screw in the dying moments, forcing three corners in injury-time and it was from the third of these, whipped in by Pugh, that Maguire met to hook the ball home for that sickening last-gasp winner.
Forde, Dunne, Lowry, Abdou, Shittu, Beevers, St Ledger, Saville (Henry, 56mins), Hulse (Batt, 56mins), Easter (Keogh, 78mins), C.Taylor. Subs not used: M.Taylor, A.Smith, J.Smith, Woolford.
Sheffield Wednesday: Kirkland, Buxton, Gardner, Llera, Helan (Maguire, 80mins), Olofinjana, Prutton, Howard, Pugh, Lita (Johnson, 62mins), Lee. Subs not used: Bywater, Mattock, M.Taylor, McCabe, Semedo.
Bookings: Olofinjana (49mins), Gardner (78mins)
Scorers: Llera (40mins), Maguire (90+4mins)
Ref: P. Gibbs
Attendance: 9,084 (Away 1,028)