Having kept the Lions in the Championship for another season, the 51-year-old cited his need for a "new challenge" as a major reason behind his departure.
As always in this situation, a number of managers have already been linked with the job. Sports Mole has looked over five of the early contenders, who are revealed below.
The 35-year-old is widely regarded to be one of the best young English managers in the game at the moment. He has shown his credentials in recent years by twice getting Bournemouth promoted - first to League One and more recently into the Championship. He is a cult hero down at Dean Court, though, so it may take some persuading to convince Howe to leave his job, particularly when you consider the fact that the two teams will be in the same division next season.
Like Howe, young manager Robinson is highly thought of within the game. Despite being just 32, he has defied any doubters to make the MK Dons a more than competitive side in League One. However, following three years without promotion, speculation has suggested that he may now be seeking a new challenge. Millwall would be able to offer him the Championship football that has so far eluded him with the Dons.
The experienced Johnson has earned himself a reputation down the years as a manager who is better working with a team that are viewed as the underdogs. The work that he has done this year at Yeovil Town, who are in the final of the League One playoffs, only proves that point. The 57-year-old is held in high esteem at Huish Park, but the bigger name of Millwall could tempt him into moving. A lot may depend on the outcome of his side's upcoming final at Wembley.
Ferguson has also been linked with the vacancy at Wolverhampton Wanderers, whom he once played for. However, where Millwall may hold the advantage is the fact that they are a Championship club, unlike Wolves or his current side Peterborough United. Like that duo, Millwall struggled this season, so Ferguson may not want another campaign of fighting against relegation.
When the German took over Brentford in 2011, he was only known in England for his playing stints with Manchester City, Southampton and West Bromwich Albion. However, Brentford's performances this season have seen them reach the League One playoff final where they will face Johnson's Yeovil. Perhaps the outcome of that match will have a big say on who will manage Millwall next? What has impressed many people recently is the way that Rosler lifted his squad after their failure to gain automatic promotion.