The Hatters manager told Sky Sports News: "The biggest disappointment today was not scoring a goal because I really felt, with the chances we had, we deserved a minimum of one goal.
"The dream is over and it is disappointing because of the manner we've gone out, really. As professionals, we've gifted it to Millwall. We really have given them a leg up that they would have loved to have had.
"They were professional, cleared their lines and did the nasty side, but what we did never gave us a chance to put them under pressure. But listen, it has been an unbelievable cup run. We've done great. I really thought we could get to the quarter-finals, but maybe next time."
Luton sit eighth in the conference league table.