Millen's side face Everton at home on Saturday looking for their second win of the season.
While acknowledging that the game will be a "great challenge", Millen wants his players to join him in "going to war".
"We know it's a great challenge and there are some good players at Everton," he is quoted as saying by Sky Sports News.
"We've had some close games at Selhurst. I don't want teams to come to us and enjoy their football.
"I said to the lads we're going to war on Saturday. I said if I'm going to war, who is going with me? I believe I have that."
Palace sit bottom of the Premier League with three points from 10 matches.