The Rams went into the game two points outside the Championship play-off places after a disappointing 1-1 draw at Ipswich Town and were frustrated once again by a combative Millwall side.
Derby controlled the pace of the game in the first half but failed to force a breakthrough, with Tom Huddlestone twice firing wide after Mahlon Romeo squandered Millwall's best chance early on.
Jack Marriott had a pair of opportunities to give Derby the lead early in the second half, misfiring after Fikayo Tomori played him through and then heading while from Jayden Bogle's corner.
Frank Lampard's men were punished for their wastefulness after 72 minutes when Bogle's errant pass allowed Shane Ferguson to play a through-ball for Jed Wallace, who chased it down and unleashed a shot that went through the legs of Rams goalkeeper Kelle Roos.
Derby failed to muster a late comeback as they missed the chance to move back into the top six, while 19th-placed Millwall picked up three vital points towards their battle against relegation.