The Lions are one of seven teams that could be relegated on the final day of the season as they are just two points adrift of the drop zone, following their 0-0 draw with Crystal Palace.
Jackett told Sky Sports News: "We don't want to be worrying about what's happening up and down the country.
"It's in our hands and we want to win. We've had lots of big games this season, it's a terrific league and that's why we want to stay in it."
Millwall face Derby County on the final day of the season at Pride Park.