The 27-year-old winger joins Blackburn having already featured on loan with Lancashire rivals Bolton earlier in the season and has put pen to paper in time to be in contention for Rovers' derby with Burnley on Sunday.
Feeney began his career in non-league football with Hayes and then Salisbury City, before heading to Bournemouth in 2009.
During his time at the Cherries, he made over 120 appearances, scoring 12 goals before signing for Millwall in August 2011.
Feeney joins another new loan signing, Manchester United youngster Michael Keane, in switching to Ewood Park ahead of the visit of the Clarets.
England Under-21 international Keane moved from Old Trafford on Friday on a deal running for the rest of the campaign.
Like Feeney, the defender is also available to feature against Sean Dyche's side, who sit in second spot in the table.