The home side dominated possession throughout but were frustrated as former Lions keeper Lenny Pidgeley comfortably kept a clean sheet.
The home side had the better of a frenetic opening 15 minutes, with Gary Alexander, twice, and Neil Harris threatening Pidgley's goal.
Alexander continued to look Millwall's most likely, nearly connecting with Steve Morison's cross and testing Pidgeley with a drive just before half time.
Lions forward Morison, a summer signing from non-league Stevenage, nearly opened his Millwall account after 53 minutes, but his low shot cannoned back off the upright.
On-loan Chelsea youngster Tom Taiwo wasted a chance for Carlisle with 20 minutes remaining before Millwall substitute David Martin's cross-shot hit the top of the bar.