An Owls win would have sent Millwall down regardless but goals from Kenwyne Jones and Ricardo Fuller compounded a miserable day for the Lions.
Ben May hit the bar for Millwall before Fuller rolled the ball into an empty net after the Lions committed everyone forward for an injury-time corner.
Millwall manager David Tuttle
"It is up to the Millwall board to sort out what happens next and whether or not they want to replace me.
"Above all they need to sort it out for the fans. They sang my name all the way through here and are the only people to come out with any credit.
"All that remains for us now is to finish the season on a high. Nobody wants to finish bottom of the table."
Southampton: Miller, Baird, Lundekvam, Powell (Brennan 13), Bale, Dyer, Wright, Potter, Pahars (Rasiak 74), McGoldrick (Fuller 61), Jones.
Subs Not Used: Smith, Kosowski.
Goals: Jones 13 pen, Fuller 90.
Millwall: Doyle, Lawrence, Phillips (Paul Robinson 88), Whitbread, Craig, Dunne (May 59), Elliott, Livermore, Williams, Braniff, Powel.
Subs Not Used: Marshall, Vincent, Cogan.
Ref: K Woolmer (Northamptonshire).