The Whites were twice beaten in the capital by Millwall last season, including in the play-off semi finals and goals from Neil Harris and Gary Alexander - either side of Patrick Kisnorbo's leveller - left Grayson's men pointless for the first time this season.
Grayson said: "Millwall do seem to have one over on us at the moment, fortunately we don't have to come back here again.
"We don't want to be here in the play-offs, we want to go straight up and we have got a group of players who won't bury their heads in the sand, they'll hold their hands up and they'll put things right.
"We'll draw from the positives and try to embark on another unbeaten run. It's about how we react now.
"We've got a group of players who do respond well to adversity so we'll see how they get on now."