Shaun Hutchinson's winner seven minutes from time saw the Lions hold off Southend to finish in sixth place and set a double-header date with Scunthorpe United.
The Lions stormed into two-goal lead through Lee Gregory and Tony Craig, the former capitalising on a scramble inside the penalty area before the captain tapped in from close range.
Jermaine Easter halved the decifit soon after but Gregory was on hand once again two minutes later to restore the advantage.
Chris Lines then got in on the act, tucking home an effort from the edge of the area, in a frantic first half at the Memorial Stadium.
With Southend beating Bury, Millwall had to see out the win and the second half was a far tenser affair made worse then Billy Bodin swept home a free kick to equalise for Rovers 15 minutes from time.
However, Shaun Hutchinson was the Lions hero when converting from a corner in the 83rd minute to settle a seven-goal thriller and seal sixth place.