"I am very disappointed," he told BBC Radio Leeds after the 3-1 defeat.
"From the very first whistle Millwall had a shot and then went on to dominate the game all over the pitch.
"You have to have 11 players who are prepared to do the gritty parts of the game, but my players didn't do that today and that's very poor.
"We were very confident of winning here, but the players didn't do their jobs properly today at all and that cost us.
"We got what we deserved and the players have to realise they can't always try and play nice attractive attacking football - you have to go and cancel out the opposition."