Danny Shittu's headed goal three minutes before half-time dashed Rovers' Wembley dreams.
The Millwall captain scored the only goal of the game, his header from a controversial corner sending the Lions through to a semi-final against Wigan Athletic next month.
After Sunday's goalless draw at the Den Rovers went into the game looking to make home advantage count but on a disappointing evening at Ewood Park they couldn't raise themselves and ultimately had no reaction when the Millwall fired the visitors in front.
Leon Best had Rovers' best chance in the second half but his goalbound effort was hacked off the line by Shane Lowry.
Rovers huffed and puffed, throwing more and more bodies forward in the final minutes but there was to be no way past a resolute Millwall who were full value for their win.
For the rematch Michael Appleton was forced into two changes after injuries sustained in Sunday's match prevented Adam Henley and David Bentley from featuring.
There was a welcome return to Martin Olsson after an eye injury, whilst David Dunn, who impressed as a substitute at the Den, made his first start since October.
For the visitors, they kept the same starting eleven from the weekend's goalless draw.
Rovers started lively, Leon Best, making his home debut, cutting inside only to see David Forde save his shot.
Then Martin Olsson found Jordan Rhodes in space but his shot from distance was off target.
A corner result almost paid dividends when Morten Gamst Pedersen picked out David Dunn, but his first-time drilled effort flashed wide.
At the other end Chris Taylor tried his luck, Jake Kean scrambling across his area as the ball flew across the area.
But as the half wore on Rovers started to run out of ideas, Millwall's central defensive pairing of Danny Shittu and Mark Beevers winning everything that came their way.
Three minutes before the break a Chris Taylor shot from inside the area slammed into the side-netting, surprisingly referee Mark Clattenberg pointed for another corner and it proved to be a crucial decision.
As when Taylor swung the ball forward once more Danny Shittu escaped the clutches of his marker to head Millwall in front. Advantage Millwall.
Michael Appleton made an immediate change as Markus Olsson was sacrificed for Nuno Gomes, but the second half started slowly. Millwall content to keep their shape, frustrating the home side.
Rovers' best spell of the game came just past the hour mark and it came from their best chance of a goal.
It was made by Leon Best as he skipped past two or three challenges to make space into the area, his shot appeared goalbound until Shane Lowry threw himself to clear off the line.
Moments later Josh King tried to find Martin Olsson in the area but he was crowded out, then Nuno Gomes laid the ball off to Jordan Rhodes but he snatched at the chance and fired high into the Darwen End.
With 15 minutes to go Anton Forrester was thrust into the action for his debut, replacing Joshu King as further firepower was added, but no matter what the home side tried it was meat and drink for defenders Shittu and Beevers, the pair heading away everything that came their way.
Leon Best fired over from the corner of the area before Nuno Gomes saw a shot blocked, but it was the Lions who had the best opportunity in the final minutes, Chris Taylor firing over with just the 'keeper to beat.
The final whistle signalled an end to Rovers' cup dreams, Millwall celebrating their win in front of their fans.
ROVERS: Kean, Lowe, Dann (c), Hanley, Markus Olsson (sub Nuno Gomes 46 mins), King, Dunn, Pedersen, Martin Olsson, Best (sub Forrester 75 mins), Rhodes.
Subs not used: Sandomierski, Givet, Rekik, Goodwillie, O'Sullivan.
MILLWALL: Forde, Dunne, Shittu (c), Trotter, Hulse (sub Marquis 75 mins), Lowry, Beevers, C. Taylor, Keogh, J. Smith, N'Guessan (sub Abdou 66 mins).
Subs not used: M. Taylor, Tyson, A. Smith, Osbourne, Saville.
Goals: Shittu 42 mins.
Booked: Shittu, Keogh, Beevers.