Sheffield Wednesday's lack of belief means first goal is the winner whenever they play at the moment
They may as well have gone as soon as Murray Wallace made disappointingly simple work of heading in a 31st-minute corner.
The last nine Owls matches – a run stretching back into Xisco Munoz's disastrous reign – have followed the same pattern. The team that scores first not only wins, but with a clean sheet. Only one of Wednesday’s 12 losses this season – from 16 league games – has come when scoring first, at Hull City in week two.
They opened the scoring in Danny Rohl's maiden home game, against Rotherham United, and bossed it with some wonderful football using the creativity of Josh Windass and the running of Anthony Musaba.
A fortnight on, it was like that 2-0 win had never happened.
Millwall kicked off with three points from a possible 15. They had a new manager in Joe Edwards, but that does not always bring a bounce – just ask Wednesday.
For half an hour neither side could muster a shot on target nor make a strong argument for having the upper hand.
Then Barry Bannan threaded a pass to Musaba, who took a touch and lashed at the ball. Even allowing for a slight bobble a player of his ability should at least have hit the target and really scored.
Within minutes Wallace jumped above the rooted Dominic Iorfa and headed Millwall in front.
All confidence left Wednesday and it simply became a question of how many the visitors would win by.
George Saville's gorgeous goal, hitting a bouncing ball into the net, doubled the lead before Rohl’s triple half-time substitution and although Bailey Cadamareri, son of Danny, showed promise on his Football League debut and Windass had both his team's shots on target they could not buttress the confidence of their side any more than the latter could beat Bartosz Bialkowski.
It felt like one of those days because it was. They are becoming rather familiar.
The second half was seven minutes old when all hope of a comeback was extinguished.
Cameron Dawson rushed out at Tom Bradshaw and could only spill the ball to Wes Harding to score his third goal in four games. The ease with which Norton-Cuffy nutmegged Musaba set the tone for a waltz through the home defence as he scored the fourth.
"We want five!" chanted Millwall fans who last saw their team do that against Braintree Town in 2016.
Wednesday need more psychological help than just beating Rotherham at home. What it did not need was Dawson's own fans booing him.
On Saturday's evidence, Dawson, who never comes across as entirely comfortable with Rohl's playing out from the back, looks in need of taking a step back for Devis Vaquez. But the boyhood Wednesday fan's effort is not in question, so undermining his confidence further seems as counter-productive as it does unfair.
The fans’ frustration was completely understandable, though. There were more boos at full-time from those who presumably stayed until then to beat the traffic.
Ashley Fletcher was ineffective on only his third Owls start at centre-forward with Michael Smith injured and Lee Gregory not even selected for the bench, Iorfa blanked memories of an excellent penalty-area tackle on Bradshaw with his statuesque defending of George Honeyman's 31st-minute corner, Marvin Johnson failed to find a team-mate with a single cross on his first start since May's play-off final and Musaba had a day as bad as his one versus Rotherham was good.
Hull's stoppage-time winner over Huddersfield Town kept the gap to Championship safety in single figures but it was a pretty short straw to grasp at.
They look in need of a master of mind games. In turning around last season’s play-off semi-final they seemed to have one in Darren Moore but their self-destructive streak is not limited to shaky goalkeepers, weak defending and ineffective shooting.
In football moods can turn quickly but to be anything more than a second blip of the campaign, the next step forward must be backed up by self-belief. Of all the things Rohl has to find in his squad, that could be the hardest.
Sheffield Wednesday: Dawson; Iorfa, Diaby, Bernard; Paterson, Bannan, Byers (Hendrick 46), Johnson (James 75); Musaba (Buckley 75), Gassama (WIndass 46); Fletcher (Cadamarteri 46). Unused substitutes: Palmer, Vaulks, Ihiekwe, Vasqueuz.
Millwall: Bialkowski; Norton-Cuffy (Leonard 84), Harding, Cooper, M Wallace; Honeyman (Esse 69), Saville (Mitchell 75), De Norre, Longman (Emakhu 75); Flemming; Bradshaw (Nisbet 84). Unused substitutes: McNamara, Hutchinson, Campbell, Trueman.
Referee: G Ward (Surrey).