The Lions took a ninth-minute lead when Lewis Grabban intercepted David Perkins' sloppy pass across the face of his own area and slotted past goalkeeper Dean Gerken.
They struck again midway through the first half when Paul Robinson stooped at the far post to head in Marc Laird's free-kick. It was nearly 3-0 six minutes later but Gerken tipped over Robinson's header from a corner.
But the U's were right back in the game 10 minutes before the break through midfielder Kem Izzet. He blasted into the roof of the net from close range after Millwall had failed to clear John White's cross.
Colchester pushed forward in search of an equaliser in the second half.
David Forde palmed away Mark Yeates' curling effort and Izzet's deflected cross came back off the underside of the crossbar but the U's were unable to prevent a fourth successive defeat at their new Community Stadium home.