Ultimately, the Saddlers conceded a two-goal lead, allowing Millwall to recover to 2-2 and take away a point.
"These are games I've got to learn from. Every goalkeeper makes mistakes. It's how you react to them but I'm a positive guy," Gilmartin told BBC WM.
Gilmartin has recently been restored to the starting line-up after spending much of the season as deputy to Clayton Ince.
"The first goal was a misjudgement by me. It happens with a young goalkeeper. I'm gutted for the fans and for the team. It's hard to take," he admitted.
Gilmartin previously held down the Saddlers' goalkeeping position for two months earlier in the season, before suffering a hamstring injury during the home win against Exeter on 17 October.