The Lions secured the narrow win in their quarter-final replay after the original match between the two sides had ended 0-0.
Danny Shittu scored the only goal of the match when he met a corner shortly before half time, powering his header home to get what proved to be the winner.
Here, Sports Mole takes an in-depth look at an historic night for Millwall.
On target 4
On target 3
Was the result fair?
If anyone deserved to win, it was Millwall. On the whole, however, it was a pretty even game so neither side would have been able to complain at a draw. There were three good chances throughout the entire match, and ultimately it boiled down to Millwall taking one of theirs and Blackburn missing theirs.
Poor. The gameplan was all wrong and they only had one true sight of goal all night. They consistently pumped the ball upfield despite Millwall's defence comfortably dealing with it every time, and didn't have a plan B to call upon. The likes of David Dunn and Morten Gamst Pedersen have the ability to create chances when on the ball, but they were bypassed by the long balls time and time again.
In truth, Millwall's performance wasn't much better. They also opted for the long ball tactic and had just as much success. However, as the away side they came into the match with their emphasis on defence and nicking a goal if possible, and that is exactly what they did. Their defence held firm throughout and they put in a very professional performance to hold on to their lead once they had gone ahead.
Sports Mole's man of the match
Danny Shittu: Danny Shittu is the main reason that Blackburn had no joy with their long balls forward. The big defender was a colossus at the back, winning every header and not giving Jordan Rhodes a sniff. He also, of course, scored the all-important goal that has sent Millwall through to the semi-finals of the FA Cup.
This one has to go to Chris Taylor's miss in the closing stages. The winger had a great chance to kill the game off in the 92nd minute when he had time and space to pick his spot, but he curled his shot way over the bar when he should have scored. His blushes were spared by the final whistle soon afterwards, but it was a really bad miss.
Mark Clattenburg had a strong match, although Blackburn may not be happy with the award of a corner that led directly to Milwall's goal. The ball seemed to go straight out without hitting a Blackburn man, but Clattenburg awarded a corner. Moments before that he turned down a handball claim as the player was too close to move his hand, and later he correctly didn't award a penalty for an outrageous dive.
Blackburn: Blackburn will try to get their season back on track in their Lancashire derby againsy Burnley on Sunday.
Millwall: Millwall, meanwhile, will face Charlton Athletic at the Valley in Saturday's early kickoff.