Billy Knott added a fourth midway through the second half, and Holloway has moved to apologise to fans who made the 200-mile trip to Valley Parade.
"The lack of confidence in the team and in each other, we let a goal in almost straight away," he told Sky Sports News.
"You could see how bad it is for everybody and in all my time in football I've never seen a team capitulate as bad as that.
"All I can do is apologise to the fans. We've got so much work to do. The lads don't look like a Millwall team, they didn't have any fight in them, they don't look like my team."
The Lions sit 22nd in the Championship table, two points adrift of safety.