The Bantams travel to The Den after beating non-League duo Dartford and FC Halifax Town in the previous rounds.
Ian Holloway’s side may be struggling in the Championship but Parkinson believes today’s trip to south London will be a huge test for his players.
He said: “Millwall does have a different feel to most grounds. But I think it is a great club and the fans down there are great, too, because of how they get behind their team.
“Our challenge is to quieten those fans down. And that is why the opening 25-30 minutes will be so important. Everyone knows how intimidating it has been down the years at The Den but that is why we are looking forward to it.
“This is an opportunity to test ourselves against better opposition than we usually face each week in our league. We played Leeds, another Championship club, earlier in the season. But that was at home. This will be different.”
City will head to Millwall buoyed by an eight-game unbeaten run that began with the first round comeback win at Halifax when Parkinson’s men had been trailing at the break.
The Bradford chief added: “People do point to that and say the season changed then. But they tend to forget the good start we had. We then had an indifferent time but I felt the signs were there that we would come right. We just had to keep plugging away.
“Now, we just want to build on the run and keep it going. Millwall will be tough but we have shown what we can do against Championship opposition when knocking Leeds out.”