The Eagles slipped to their ninth loss in 10 matches on Saturday as they went down 2-0 at The Hawthorns.
Despite Palace sitting six points from safety at the bottom of the table, Millen wants the team to remain hopeful of avoiding relegation.
"Fair play to our lads, they kept on going," he told the club's official website. "We know what this league is about and we have to learn very quickly.
"I have no complaints with the team spirit. The players have to keep on going."
Palace return to Premier League action next weekend when they play host to Everton.