The Northern Irishman was shown the door following the lunchtime hammering at Vicarage Road, having been in charge at The Den for only six months.
The Championship club are just three points above the relegation zone after winning only five of their 22 league games so far this season.
A statement on the club's website read: "Steve Lomas has been relieved of his duties following the defeat which saw the Lions slip to 20th in the Championship table.
"Coach Neil Harris and academy director Scott Fitzgerald will take temporary charge of the team for the trip to Doncaster on Sunday, and until a new permanent manager is appointed."
Lions CEO Andy Ambler said: "We are very disappointed that it hasn't worked out for Steve. He has been thoroughly professional in his approach to the job during his short period with the club and remains a very promising young manager.
"However, the board feels that it is in the best interests of Millwall that we make the change at this time and the search for a successor to Steve begins immediately. We wish Steve the very best for the future."