Caretaker manager Millen will again be in charge when Palace take on West Ham United at Selhurst Park on Saturday looking for their first win of the Premier League season.
Many had expected Palace to have appointed a manager by now, with Malky Mackay seemingly having one foot in the door earlier this week, but Millen remains in place and he feels the club's future direction will continue to be questioned while that is the case.
Former Celtic boss Neil Lennon is the new favourite to take over from Tony Pulis, although bookies have reported money for Pulis to return to the club just over a week after he stood down.
"It's probably the same now as it was when Ian (Holloway) left last November," said Millen, who remains interested in taking over on a permanent basis.
"It's the not knowing that's the hardest thing for the players and staff - which direction the club and the chairman want to go in.
"Who's going to come in, are we going to play a different way, what sort of structure will we have and as far as staff's concerned what role will we play?
"So it's probably the unknown, the uncertainty, that is the hardest thing to get your head around."
Millen took caretaker charge of Palace when Ian Holloway was sacked in October 2013, until former Stoke boss Pulis arrived.
Croydon-born Millen said he hopes his past experiences of temporary management can help Palace gear up to face Sam Allardyce's Hammers this weekend.
"From day one we've been favourites to get relegated, so it's always been us against the world if you like anyway," Millen added.
"And I think that suits us, we like to be the underdogs, and we like to prove people wrong. Come Saturday you'll see a united team that will want to get three points for the club.
"I think they realise, the lads know that it's no reflection on them, they've done nothing wrong.
"None of the managers or anyone that's left has been because of the players, and they know that, it's not affected their confidence.
"The only question mark from them is what direction we're going to take now.
"The beauty of me being able to continue it is I know what we're good at, so that hasn't caused too much unrest.
"We've continued on the lines that I think brings the best out of the players."