Gibbs-White received his marching orders for a second bookable offence on 54 minutes after appearing to dive when he was 'challenged’ by Scott Malone in the box.
Soon after, Saville - also on a yellow card - was not sent off for what looked like a trip on John Fleck.
On the strike of half-time, the Scot earned United a penalty when he was caught just inside the box by Malone.
Billy Sharp converted the spot-kick to cancel out Jed Wallace’s 11th-minute opener.
Playing against ten men for just over 35 minutes in the second half, the Blades dig deep and almost won it late on through Iliman Ndiaye, but it was Millwall who took the spoils in dramatic fashion following a winner in the second minute of stoppage-time from Jake Cooper.
United fans made their feelings known in the direction of Donohue in no uncertain terms at the final whistle about what they thought about his decision to send off Gibbs-White and not dismiss Saville.
Jokanovic said: “It was so naive (from Gibbs-White). The referee interpreted that it was not a fair play action and showed him a yellow card and I cannot complain a lot about this decision even if it did kill us.
“I did not understand how he interpreted it (with Savile) and I asked him why he took the decision.
“We asked and the referee said the defender was close to the situation but this is not true he was 20 yards away I didn't understand his interpretation.
“If I talk about the referee, I don't feel comfortable as he tried all the time to not allow physical challenges, but if you show no fair play, you get yellow. But why don't you follow the same rules with a foul when it's a clever foul and cynical.”
On the bitter nature on his side’s late defeat, the Serb - who confirmed that he took off Conor Hourihane for tactical reasons in the first half - added: “It was definitely a hard defeat. Our expectations for this game were completely different.
“We did not start the game well and they won some physical battles and we did not show enough energy and move enough and make the correct passes.
“We did not show enough energy, power and desire in the opening 45 minutes and we changed the shape and we played a better game and in the few minutes when it was 11 versus 11 we played well and had good chances.
“With ten men, we did not have a lot of problems, but they took one chance and Cooper scored with one shot and we needed to be ready for these situations.”