Gary Rowett's side have been around the block more than once, and outplaying them is not enough to beat them. The Londoners headed home from South Yorkshire with a 1-0 win their play did not deserve.
Some of the Millers' first-half football was excellent, but they failed to score. Some dozy defending at the start of the second half allowed Jed Wallace to put his side in front and Paul Warne's men were unable to find an equaliser.
Welcome to the Championship.
Rotherham moved the ball quickly and got it into good crossing positions but were unable to make the most of it in a first half they dominated.
Whilst their passing was usually short and sharp on an immaculate pitch for the New York Stadium's first home game since February, they were also prepared to go long when the situation demanded.
Right-back played a wonderful long pass into Chiedozie Ogbene, who had drifted centrally off the right wing and the ball was worked left, from where Kieran Salier delivered a cross that was just in front of Ogbene.
Freddie Ladapo's wonderful turn from a Harding throw-in sprang them into attack again after 12 minutes, but left-back Joe Mattock's cross was well held by Bartosz Bialkowski.
It was Ladapo who wasted the best chance of the half, 20 minutes in. Again Harding and Ogbene were involved, the former releasing the latter who played the ball across, only for the centre-forward to open his body up too much and squirt his shot wide.
Three successive corners on the half-hour produced no more than a deflected Sadlier shot and a cross-shot from him which was well held.
That was the worry for Rotherham – that for all the brightness of their football, they were not putting their opponents to bed.
Scott Malone curled a free-kick over after a foul which put Michael Ihiekwe in the book, and debutant Angus MacDonald made an excellent block to stop Jamal Blackman having to deal with Jed Wallace's effort.
The half finished with Michael Smith not getting a clean enough touch on Harding's inviting cross and Mattock hitting a free-kick into the wall.
Sure enough, Millwall punished them, Ihiekwe kicking at fresh air when the ball was played down the middle, Blackman out of his area and too easily beaten by Wallace, who found the net.
When they regained their composure Rotherham pushed for an equaliser, Angus MacDonald having a firm header saved from a Harding cross and Bialkowski scrambling to keep mattock's effort out even though it was not hit cleanly.
George Hirst came off the bench and the son of David's first contribution as a Miller was a volley which was blocked.
“Wes, relax!” from Warne in the first 15 minutes had become “Wes, quickly!” as the game went into its final minutes but as they got more frantic, Rotherham's passing got more careless, Ben Wiles hitting a ball into the back of Mattock and Blackman throwing a ball out too far in front of Harding. Dangerous crosses from both wings flashed over without a touch.
It was by no means a bad performance, but the points went to Millwall.
Rotherham United: Blackman; Harding, Ihiekwe, A MacDonald, Mattock; Ogbene, S MacDonald, Lindsay (Crooks76), Sadlier (Wiles 66); Ladapo (Hirst 66), Smith.
Not used: Johansson, Wood, Vassell, Miller.
Millwall: Bialkowski; Cooper, Pearce, Hutchinson; Romeo (Williams 74), Woods, Leonard, Malone (M Wallace 74), J Wallace; Bradshaw, Bennett (Smith 82).
Not used: Ferguson, Mahoney, Bodvarsson, Wright.
Referee: L Doughty (Lancashire).
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