The south Londoners are bottom of the table and, even at this early stage of the season, are six points from safety.
Ian Holloway left the club on October 23, since when Millen has taken temporary charge.
Palace's most recent defeat came at West Brom on Saturday when the Baggies won 2-0 at The Hawthorns.
But Millen said: "So as far as the team spirit is concerned, I have no complaints there.
"Of course we are on a bad run, and there is a lack of belief. But this is where they have to stay strong. They have to stay strong and dig themselves out of it."
As for being beaten in the Midlands, he added: "Going in at half-time one-nil down was disappointing but the reaction of the players in the second half showed they grew in belief.
"We created enough chances to be back in the game and you could see West Brom were happy to be a goal up.
"We should have probably been at least at one-all - we certainly had enough chances.
"And certainly the one that stands out is Mile Jedinak's header, which he attacked well but unfortunately put wide.
"Going two-nil down was hard but fair play to our lads. They kept going and then created some more chances.
"But we have got to learn very quickly if we are going to start picking points up. We have to be a lot more ruthless."