Latics succumbed to their fourth straight league defeat this afternoon as Steve Morison scored inside two minutes, before substitute Jermaine Easter added a second 80 minutes later, with James McArthur responded to make it 2-1 with six minutes remaining.
Constant pressure towards 90 minutes wasn't enough for Latics as they were denied by the woodwork and some packed Millwall defending.
As Uwe Rosler sat on watching from the stands having been announced as Latics' new manager earlier in the morning, Graham Barrow took charge from the touchline, making three changes from the midweek defeat against Leeds United as Stephen Crainey, James McClean and Grant Holt came in for Jean Beausejour, James Perch and Will Keane.
Millwall fired out of the traps and within two minutes, Rosler's first taste of Latics action saw them concede as Steve Morison gave the hosts the lead following a melee inside the penalty box.
Attacking wing play from the Lions saw them earn a corner from which Latics failed to clear, the ball popped up down the right side of the penalty area and with power Morison lashed the ball through a body of defenders for 1-0.
Latics had two consecutive chances to equalise within the opening 10 minutes, first with McClean darting inside from the left and testing the gloves of David Forde with a powerful right footed effort which forced the keeper to parry away.
After earning a corner, Latics went close once more when Emmerson Boyce got onto the end of a low McClean ball across the six yard box, but as he stretched to finish the ball took a deflection on the line to save Millwall.
McClean continued to be Latics' main threat, once again forcing Forde to parry later in the half as he skipped beyond Alan Dunne and flashed the ball across the face of goal.
Millwall had chances to extend their lead before half time on a number of occasions, first with Liam Feeney's deflected effort rippling the side netting, and then Martyn Woolford escaped the clutches of defenders inside the area to thump an effort into the foot of the post and back across the face of goal.
The second half started much differently to the first, with Latics dictating the tempo early on and making sure there wasn't a repeat of the first half.
Genuine chances were hard to come by until a manic last 15 minutes, but Latics upped their attacking pressure, with Forde remaining strong between the sticks, despite some last ditch and hurried Millwall clearances.
It was a nervy second half and as the pressure mounted on Millwall's defence, the supporters became anxious.
Callum McManaman, Ryan Shotton and Roger Espinoza were all introduced in the second half, with McManaman becoming a key part of Latics' attempts towards the final whistle.
Before then though, Millwall substitute Jermaine Easter doubled his side's lead when the Lions struck on the counter attack, with Easter coolly finishing down the left side for 2-0.
Two minutes later Latics finally got their goal, but it came in less than expected circumstances as James McArthur struck left footed from range, with the ball somehow finding its way into Forde's bottom corner as neither defenders nor goalkeeper had time to react.
Multiple chances for 2-2 followed, first with McManaman claiming for a handball after a twisted and turned inside the area before getting away a shot at close range, then came a now customary strike of the woodwork.
Latics' top scorer Leon Barnett thought he'd equalise with just moments remaining when his leap and header was forced over by a combination of Forde's fingertips and the cross bar.
As new boss Uwe Rosler watched on, Latics gave a brave fight in the dying minutes, but it wasn't enough to prevent a fourth straight league defeat.