Jeff Hughes had fired Rovers in front from the penalty spot in the 16th minute after he had been tripped in the penalty area by Andy Frampton.
Injury-hit Millwall battled hard. Their best effort was an Ashley Grimes shot in the 53rd minute, which was tipped around the post by Rovers' debutant goalkeeper Mikkel Andersen.
Darryl Duffy, Aaron Lescott and Hughes all had chances to extend Rovers' advantage, but failed to beat goalkeeper David Forde.
Alan Dunne had a header blocked for Millwall, who contributed much to a high-tempo game.