Neil Harris had given the visitors the lead but Junior Stanislas' equaliser that sent the tie into extra-time sparked ugly scenes as supporters poured over the advertising hoardings.
Stanislas added another from the penalty spot, leading to Millwall players heading for the dressing room, before play got under way again and Zavon Hines added a third to seal victory at the end of a poisonous evening of hostility.
Steven Fletcher paid off the first instalment of his £3million transfer fee with a face-saving Carling Cup double as Burnley won 2-1 at Hartlepool.
The Barclays Premier League side looked to be heading out of the competition at the first attempt with just six minutes of normal time remaining with Pools leading through Adam Boyd's first-half strike.
However, Fletcher, a 61st-minute substitute, smashed home an 84th-minute equaliser and then after Richard Eckersley had been sent off, headed home an extra-time winner.
Wolves booked their place in the third round of the Carling Cup for the first time since 2003 courtesy of a 6-5 penalty triumph over Swindon.
A crowd of 11,416 watched on at Molineux as neither side managed to find the net in 120 lifeless minutes, despite the Barclays Premier League outfit dominating most of the possession.
The first 11 spot-kicks were all scored as both sets of players found the net at will, before Swindon captain Gordon Greer blasted against a post to put Wolves into Saturday's draw for the third round.