The visitors sacked manager Steve Lomas after a 4-0 Boxing Day defeat - their third in a row - away to Watford.
But they battled hard for caretaker duo Neil Harris and Scott Fitzgerald to earn their first point in four games.
Injury-hit Doncaster, without a win in five, played well in patches and went closest to breaking the deadlock when substitute Federico Macheda hit a post in the 85th minute.
Doncaster made four changes to the side badly beaten by Ipswich on Boxing Day, dropping loan signings Macheda and Yun Suk-young to the bench.
They started cautiously with five in midfield, leaving teenage striker Alex Peterson to plough a lone furrow up front on his full league debut.
But it was Millwall who had the better of a scrappy first half in which few chances were created.
Scott Macdonald hit the side netting in the third minute following good work by Martyn Woolford before Dean Furman had a shot blocked by Shane Lowry in Doncaster's first attack.
Play became bogged down in midfield as both sides struggled before Woolford beat home goalkeeper Ross Turnbull with a goalbound effort in the 25th minute only to see David Cotterill clear the ball off the line.
Millwall enjoyed a spell on top, with Woolford firing inches wide from the edge of the area in the 31st minute before Nick Bailey forced the first save from either keeper with a 20-yard volley which was comfortably collected by Turnbull.
Rovers made their presence felt just before the interval when teenage defender Liam Wakefield headed a good chance over the bar from Mark Duffy's left-wing cross.
Then Furman forced a full-stretch save from visiting keeper David Forde with a cracking 20-yard effort after Richie Wellens had set up the chance.
Millwall started the second half better, but a goal still proved elusive for both sides.
Malone fired wide from a good position early in the second half and then Richard Chaplow was well off the mark with an angled effort in the 56th minute.
Rovers were relying on long-range efforts and ambitious attempts from Wellens and Martin Woods both sailed well off the mark.
McDonald was wide again for Millwall before Doncaster finished strongly and almost snatched victory.
Macheda made room for himself after latching on to a through-ball five minutes from time and hit a superb curling shot only to see the ball rebound off the foot of a post.
Forde came to Millwall's recue in the last minute to tip away a fiercely struck 25-yard free-kick from Duffy as the Lion's held firm.