Despite being four points from safety, Holloway is adamant that his players have the talent to climb out of the relegation zone.
"You probably think I'm crazy but I don't. I think we can do it with the chances we are creating," Holloway told Sky Sports News.
"I'm devastated, I have to say that. It was a must not lose game and we've lost it. We've got to keep fighting. I'm totally determined to get this right. I don't quit on things. Everybody will write us off now, but not me and not us.
"I'm sick and fed up of talking, it's about action now. I believe we can still do it after everything I saw. That's as bad a result as I've had in my career and I still feel positive. We've got life in us and we're still going to fight."
Millwall play Blackburn Rovers on Saturday.