The home side gained all three points with a 1-0 win at The Keepmoat Stadium courtesy of a 12th minute goal from on-loan from Sheffield United striker Billy Sharp.
"After Tuesday we were looking to build on that and unfortunately we took one step forward and then went two back," Millen said after the match.
"In the first half we matched up against them. We made one mistake and Billy Sharp has punished us.
"We penned them in for long periods in the second half but never really had the quality of balls forward or creativity to make chances.
"That said, I would say we deserved something. A draw would have been a fair result but you have to give Donny credit.
"For us, we need to create easier chances. We are making it too hard for ourselves."