The Lions lost 2-1 to Sheffield Wednesday in the league mid-week, but the defender believes that the dressing down they received from their boss afterwards has done them good.
"It might not do us any harm getting beaten and getting a rollicking," Sky Sports News quotes Dunne as saying.
"Sometimes you get complacent. If we had won we might have got complacent going into Saturday. Getting beaten, we had a rollicking off the manager and it will fire a few of us up for Saturday. That's important."
Millwall will clash with Wigan at Wembley Stadium on Saturday with a place in the final at stake.