As it was, both sides struck the post but neither was able to break the deadlock throughout the 90 minutes. As a result, they will now meet again at Ewood Park on Wednesday night to determine who will advance through to Wembley.
You can find out how the match unfolded with our minute-by-minute commentary below.
"My paths haven't crossed with Roy since. He didn't say anything to me when he released me or give me any reasons," Rhodes told The Sun.
"In hindsight, it has done me a favour. Going to Huddersfield at the time I did, under Lee Clark and the chairman Dean Hoyle, was the best thing that could ever have happened to me.
"It happens in all aspects of life, when somebody gets dealt criticism or gets released from a club, or gets sacked from a job. They try to take it upon themselves to say 'Right, I'll show you, I'll improve and I'll work as hard as I can to make myself a player I would love to be'."
"We are really focused on this game and there is a good buzz at the training ground. We need to improve from how we played against Wolves and we will improve on Sunday."
"I think this is an opportunity to put the league to bed for a few days," he told the club's official website. "We've got a great opportunity to go and play at Wembley, it has been a while since the football club did that.
"So I'm sure the players will grasp that, they've got an opportunity to do something special.
"It is a quarter-final cup tie, two Championship teams going head-to-head knowing that the likelihood is that the winners will play one of the big boys at a magnificent stadium."
1. Millwall have lost just two of their last 18 FA Cup games at home, winning 11 and drawing five
2. Blackburn are one of only two sides yet to concede a goal in the FA Cup - the other is Manchester City.
"1 - Millwall have failed to score in just one of their last 15 FA Cup matches at the New Den. Roar."