Kenny Jackett's men had been expected to come out on top after holding Reading and Tottenham Hotspur to draws in recent weeks but a goal from substitute Craig McAllister gave the home side a 1-0 win.
The Lions had put out a strong side but could find no way through a stubborn Grecians side, despite switching formations after sixty minutes. The result could certainly prove a worry for Jackett, with this morning's News of the World tipping his side as possible relegation fodder.
Millwall:
Ford; Dunne, Craig (Frampton), Robinson, Whitbread; Fuseini, Laird, Abdou (Grimes), Brkovic (Hackett), Alexander, Grabban.
Subs not used: Edwards, Spiller, Harris.