The Lions trounced City at the King Power Stadium earlier in the season and completed the double on Saturday with their third win on the trot.
Millwall spent much of the opening exchanges on the back foot but took the lead after 23 minutes when Harry Kane lashed home.
On-loan goalkeeper Maik Taylor did superbly to keep out a fierce David Nugent effort as the visitors threatened, although Andy Keogh's penalty put Millwall further ahead 10 minutes into the second half.
Leicester substitute Danny Drinkwater fired home in the 82nd minute, although it proved a mere consolation to leave the Foxes six points shy of the play-offs.
Millwall named the same side that won 1-0 at Portsmouth for today's game, while City brought Paul Gallagher and Andy King into their starting line-up.
It was the visitors who began brightest in south London and would have taken an early lead had Jermaine Beckford managed to prod a Nugent header goalwards.
The former Everton striker wasted another opportunity minutes later when he broke free on the right flank, only for a poor touch to allow Paul Robinson to get in a clearing tackle.
Millwall were forced into last-ditch defending to keep City at bay but came close at the other end through Kane, who almost directed home a James Henry free-kick at the far post.
The 18-year-old made amends for his missed opportunity in the 23rd minute by firing the hosts ahead.
Henry floated in a free-kick from the right side and, after City failed to clear in a penalty-box melee, the on-loan Tottenham man fired home.
Only a fine point-blank save from Taylor prevented Nugent grabbing an immediate leveller, although City almost fell further behind as the hosts counter-attacked.
Kane collected the ball and was through on goal before Souleymane Bamba's last-gasp challenge thwarted him as he shaped to shoot.
Bamba's defensive partner Wes Morgan soon had a shot blocked by Shane Lowry at the other end, which came after attempts by Nugent and Lee Peltier.
Paul Konchesky curled a 20-yard free-kick over in the second half as Leicester continued to press, although they fell further behind in the 55th minute.
Kane was brought down in the box by Konchesky when collecting a squared pass from Andy Keogh, who scored the resulting penalty with a cheeky chipped effort.
"We are staying up" echoed around the Den as the Lions played neat passes and tested the Leicester back line with increasing regularity.
Their growing confidence was epitomised with 15 minutes remaining when Josh Wright collected the ball 35 yards from goal and sent in an exquisite half-volley that clipped the top of bar.
Leicester ensured a nervy end to proceedings when Drinkwater fired home from 20 yards with eight minutes remaining, but the Lions held out for victory.