Club bosses have been searching for a successor to Kenny Jackett, who stood down earlier this month after five-and-a-half years in charge.
St Johnstone manager Steve Lomas remains an odds-on favourite with Sky Bet despite the SPL club's claim there has been no approach from south London.
Millwall chief executive Andy Ambler said: "The process of interviewing is well under way.
"We hope to conclude that process and announce our new manager by the middle of next week so that our new manager can get to work on the forthcoming season."
Steve Kean, Alex McLeish and Markus Babbel are other names prominent in the Sky Bet market.