Henning Berg suffered his first home defeat as Rovers boss after an impressive Millwall side ran out 2-0 winners.
Clinical finishing proved to be the difference as second half strikes from Chris Wood and James Henry gave the visitors all three points.
Rovers were warned in the first 45 minutes as Andy Keogh saw two headers ruled out for offside, the home side struggled to create in comparison.
Rovers were better at the start of the second half, Martin Olsson, Ruben Rochina and debutant Joshua King all going close, but it was Millwall who showed them how to finish with two strikes of high quality.
The first came on 71 minutes when, after beating Grant Hanley, Chris Wood hammered the ball home. James Henry doing likewise as the game entered added time as Rovers endured their fourth loss this campaign.
For the fourth consecutive game Henning Berg named an unchanged starting eleven as Rovers looked to make it back-to-back victories following last week's win over Peterborough United. Loan signing Joshua King named amongst the substitutes.
Millwall went into the game off the back of a ten-match unbeaten run and you could certainly see why as the visitors started much the stronger of the two sides.
After just seven minutes Millwall had the ball in the back of the net but it was chalked off. James Henry delivering from the right but striker Andy Keogh had strayed into an offside position before heading beyond Robinson.
Kenny Jackett's side continued to force the pace with Chris Wood and Keogh working the Rovers defence. Scott Dann needing to be in the right place to block a shot from New Zealand international Wood.
Keogh saw another effort disallowed on 20 minutes with a carbon copy of his first 'goal'. Henry again from the right, but once again he had strayed beyond the last man resulting in the raised flag.
At the other end Rovers offered flashes of their forward play. Inevitably Ruben Rochina was involved heavily, an early right-footed effort was claimed by David Forde, his second attempt on 23 minutes, on his more favoured left foot, required tipping round the post at full stretch.
Millwall were tireless in their play, Chris Wood with a forceful shot that Robinson couldn't hold. Then Rovers needed a last-ditch clearance from Martin Olsson to prevent Keogh from profiting in the six-yard box.
As the half drew to a close Rovers finally built up a head of steam with a series of corners and chances. Markus Olsson fired over when well placed whilst Mauro Formica saw an effort from the corner of the area deflect over the bar.
At the break Rovers were thankful that the score remained as it had started.
Rovers were quicker out of the traps at the start of the second half, Jordan Rhodes heading narrowly over after a cross from Ruben Rochina, then as Martin Olsson skipped between two defenders the Swede saw his shot deflect over the cross bar.
Midweek loan signing Joshua King was brought on after 56 minutes and almost made an immediate impression, the Norwegian international exchanging passes with Martin Olsson but his shot across goal was tipped wide by David Forde.
Rovers continued to press, Danny Murphy saw a volley flash wide, Rochina's swerving effort pushed aside.
Slowly but surely Millwall started to come back into the game, Grant Hanley had to be alert on two occasions to clear the danger, one an important header, the other a well-timed tackle on Andy Keogh in the area.
The first half had seen the visitors threaten without scoring but that would change on 71 minutes with a goal of high quality.
Kiwi Chris Wood showed a good touch to take the ball past Hanley before he hammered it beyond Paul Robinson to send the visiting fans into raptures.
Rovers looked to respond, good play by King saw Rochina fed but he was wide with his efforts.
The home side kept pressing and probing, seeing plenty of the ball. Nuno Gomes and Simon Vukcevic were brought on to add to the attacking threat but against a well-marshalled Millwall Rovers struggled to gain any traction.
With space afforded to them at the back Millwall took full advantage as the clock ticked over into the last minute of the game, the ball falling nicely to James Henry who finished with aplomb in similar fashion to Wood's earlier strike.
Rovers pressed until the end, Joshua King, lively on his debut in a home shirt, fired over after good work, but it was Millwall's clinical finishing that proved to be the difference.
Thankfully Rovers don't have too long to ponder this defeat, Bolton Wanderers are the visitors to Ewood Park this coming Wednesday night.
ROVERS: Robinson, Henley, Dann, Hanley, Martin Olsson, Formica (sub Nuno Gomes 72 mins), Etuhu, Murphy (c) (sub Vukcevic 85 mins), Markus Olsson (sub King 56 mins), Rochina, Rhodes.
Subs not used: Kean, Givet, Lowe, Pedersen.
MILLWALL: Forde, Shittu (c), Wright, Lowry, Henry, Beevers, Taylor (sub Malone 88 mins), Keogh, A. Smith, Abdou, Wood.
Subs not used: Taylor (GK), Racon, Feeney, J. Smith, N'Guessan, Osborne.
Goals: Wood 71 mins, Henry 90 mins.
Booked: Lowry, Shittu, Henry, Keogh.