The home side had the better of the first half and midfielder Akos Buzsaky shaved the post with a low shot.
Tony Capaldi also hit the woodwork with a cross-cum-shot after the interval as Plymouth searched for a winner before Millwall made a late surge.
They had their best spell in the final 10 minutes but David Livermore's volley was smartly saved by Romain Larrieu.
Millwall manager Colin Lee:
"I think it would have been unfair if either team had won. I think a draw was a fair result.
"We should have been happier with a draw because we are away from home but we are not because we have to win games and beat the teams around us.
"This is a big week for us. We've got a point, now we've got Burnley and Crewe and it's important we build on this."
Plymouth: Larrieu, Connolly, Doumbe, Aljofree, Barness (Djordjic 62), Norris, Wotton, Buzsaky, Capaldi, Evans (Chadwick 82), Taylor (Derbyshire 62).
Subs Not Used: Lasley, McCormick.
Millwall: Marshall, Lawrence, Williams (Craig 70), Paul Robinson, Dunne (Elliott 70), Ifil, Morris, Livermore, Wright, Asaba (May 59), Hayles.
Subs Not Used: Hutchison, Jones.
Booked: Ifil.
Att: 11,764
Ref: C Penton (Sussex).