The Northern Irishman took over the reins last week after Kenny Jackett resigned at the end of last season after five and a half years at the club.
And now the former St Johnstone boss is hoping to get the Championship club playing an attacking style of football, with the aim of getting the home fans on board.
He told the Sunday People: "It's a good fit. Maybe some of the Millwall fans won't think so.
"I know they are all about pride and passion. It's a proper club with proper supporters. They stick by their team through thick and thin.
"I want to bring all of those qualities together and put a lot of good football in there, too. I want us to be an attacking side that the supporters can be proud of.
"I want The Den to be bouncing, I want the hostility. I know as an away player that you go there, take a look around and some of the team don't fancy it."