Ian Holloway's departure in midweek left Millen in caretaker charge for Saturday's game against Premier League leaders Arsenal at Selhurst Park.
Millen made half-a-dozen changes to the team which had lost 4-1 at home to Fulham on Monday night and was rewarded with a spirited performance.
A penalty from Mikel Arteta, who was later sent off, and a late header from Olivier Giroud secured Arsenal the points, but Millen was pleased with Palace's effort.
"The last couple of days have been difficult obviously with Ian leaving, but from a work point of view it's been fantastic," he said.
"It was about playing for the fans and I think the fans will have appreciated the effort and commitment.
"Their response to going one down against a world-class side made me proud, and I am just disappointed they didn't get something from the game that I felt they deserved today."
Former Stoke boss Tony Pulis has been linked with the Selhurst Park vacancy, with Palace now having lost eight of their nine league games this season.
Millen added: "It is important that we get someone in really as quickly as possible, but it has to be the right person.
"I am sure the chairman won't rush in to that."