The former Fulham forward, who was a target for the club in the summer, agreed a three-year deal with the club this afternoon, allowing him to play in this season's UEFA Cup competition.
Speaking to Millwall's official website, the 32-year-old striker said: "I got a call from my ex-gaffer Neil Warnock and he said that he didn't really think it was working out at Sheffield United and that he wouldn't stand in my way.
"I played the first four games of the season but he changed it around, so when Millwall came in with a suitable offer he said that it was down to me.
"This is a good move for me, I'm really pleased to be here. I went to the training ground this morning and thought that they are a good bunch of lads.
I think that I've found a base here and a challenge that I'm really looking forward to. I'm fighting fit and raring to play in front of the fans here now."