Steve Lomas' six-month stint with the club ended on Boxing Day after the former St Johnstone manager was sacked following the club's 4-0 defeat away at Watford.
Millwall have won just three times in three months and the loss against Watford was the club's third consecutive defeat - a run which has seen them slip to 19th in the Sky Bet Championship.
Under-21 manager Neil Harris has been appointed as the club's caretaker manager and will be take charge of the side with academy manager Scott Fitzgerald for the Millwall's visit to Doncaster on Sunday.
Despite being the even-money favourite for the job, the former Millwall striker insists his appointment is only temporary.
"It could be one game, it could be three, it could be six, but it is short-term," Harris told Sky Sports News. "I am Under-21s manager and Scott's academy manager so we'll just keep things ticking over and try to improve things slightly, ready for when the new guy comes in.
"I thoroughly enjoyed working with Steve and Tim Breacker and Mick Harford - and for the last five, six months they were a great group to learn from," he added.
"I thoroughly enjoy doing the Under-21s - that's my role and while the chairman and the board want me to do this and help out then obviously I am committed to doing that."
Millwall issued a statement on their website on Thursday with CEO Andy Ambler insisting the club won't waste any time in trying to identify the right man to take the club forward.
"We are very disappointed that it hasn't worked out for Steve," the statement read. "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 thank Steve for his efforts and wish him the very best for the future."
Sky Sports News reporter Roger Clarke believes the club will look for an experienced manager to fill the void by Lomas' departure.
He said: "My understanding from speaking to people around the club is that they will be looking for someone with experience who can change this run of results and drag them away from those relegation places."