Neil Harris has told his players to "enjoy" their end-of-season run-in as they are under no pressure to hold down a place in the Championship's top six.
The Lions are the second tier's form team over the past few months, winning 11 and drawing five of their last 16 matches to creep into the playoffs.
"There is no pressure on us. At the start of the season nobody expected us to be near the playoffs, including me," the London Evening Standard quotes him as saying. "And now we can just enjoy it.
"The club should be proud of where we are. Credit to my players. What I know is they will not rest on what they have done so far. They want to be in the playoffs. We are in the playoffs because over 42 games we have been one of the best teams in the division, and we have to remember that.
"We are on a great run and the boys are in form, individually and collectively. It is a special time for us. Millwall fans are pinching themselves a bit but league tables do not lie after 42 games. Now we have four massive games."
Millwall see out the season with games against fellow promotion hopefuls Sheffield United, Fulham, Middlesbrough and Aston Villa.