Mark Kennedy came closest to opening the scoring for Wolves when his first-half free-kick hit the crossbar.
Marvin Elliott might have given Millwall an early lead, but his fierce strike was saved by Stefan Postma, who also did well to hold a Ben May shot.
Paul Ince went close for Wolves on a couple of occasions, with Andy Marshall clawing away a header and then a shot from the former England captain.
Wolves manager Glenn Hoddle:
"We've played much better this season and lost, so I think it's a fair result.
"I've got to be honest. In this league if you're not at your best you can still win, but we didn't do enough.
"In the last third we were lacking. That's the problem, the last third has let us down all season. We haven't been clinical enough."
Millwall: Marshall, Lawrence, Robinson, Whitbread, Craig, Dunne, Elliott, Livermore, Morris, Williams, May.
Subs Not Used: Doyle, Braniff, Ifil, Hendry, Healy.
Booked: Morris, Williams.
Wolverhampton: Postma, Lescott, Craddock, Edwards, Ross (Naylor 60), Ince, Anderton (Rosa 89), Davies (Seol 72), Kennedy, Miller, Cort.
Subs Not Used: Oakes, Ganea.
Ref: C Penton (Sussex).