The Lions went for an attacking 4-3-3 formation in the first half but had little to show for it apart from an early George Friend header which was straight at Shrimpers goalkeeper Steve Mildenhall. Instead it was Southend, playing in their usual 4-4-2 formation, who created the better chances.
Lee Barnard's angled shot from the edge of the box was pushed over for a corner by David Forde, with the Millwall goalkeeper finishing the half with a fine stop to keep out Jean-Francois Christophe's bullet header from a Simon Francis free-kick.
Kenny Jackett brought on Neil Harris to partner Gary Alexander in a 4-4-2 line-up for the start of the second half and saw the substitute head just wide.
Millwall nearly made the breakthrough on the hour when Alexander's header hit the crossbar before Tony Craig hooked his follow-up out of play.
Southend replied with Alex Revell firing just wide before the visitors saw Andy Frampton's late header blocked by Mildenhall - Alexander's rebound was hacked off the line.