The move reunites the 32-year-old with his former Blackpool boss Ian Holloway, who recently took over at The Den.
Campbell joined Rovers on loan from Queens Park Rangers last season before making the move permanent in the summer.
However, his time at Ewood Park has been hampered by injuries, having first sustained a broken metatarsal last March, before picking up an ankle ligament injury in pre-season.
Campbell, who has yet to score in 16 appearances for the club, returned to action against former club Blackpool in October, but was shown a straight red card late on.
On the move, Rovers boss Gary Bowyer said: "With his ankle injury in pre-season and the arrival of Rudy Gestede, DJ has found his chances limited and at this stage of his career he needs to be playing games.
"The attraction of Millwall for DJ is that he can go back to London, where his family are from and he'll be reunited with Ian Holloway. The pair have a lot of time for each other.
"Both parties felt that it was the right move and it will be good for him to get some games under his belt."
Campbell will be ineligible to play against Rovers when the two teams meet on March 29th.