The Lions will take on Blackburn in the last eight of the Cup after beating Luton on Saturday but Jackett then had to sit through a 5-1 home loss to struggling Peterborough, which leaves his side 14th and without a Championship win since New Year's Day.
A brace from Lee Tomlin, as well as goals from Tommy Rowe, Nathaniel Mendez-Laing and George Boyd, sealed an emphatic win for Posh, although Millwall, who had Shane Lowry sent off, briefly restored parity through James Henry.
Jackett said: "We've lost five games on the trot now in our division and it seems to have run alongside a very good cup run.
"I don't think the two are connected, I just don't think that we had enough tonight to be honest.
"We had an awful lot of the ball right the way through the game and didn't do enough with it.
"We had no cutting edge up front and, in terms of our defending, we didn't have the awareness and Peterborough were capable of breaking from the first minute."