Harford, who joined The Lions in 2000, was a popular figure and is best remembered for the part he played in Blackburn Rovers' Championship success in 1995.
The news was broken by Ray Stubbs on Football Focus but many Millwall fans had yet to hear the sad news and were stunned by the club's announcement just before kick-off.
He will be fondly remembered at The Den for the part he played in The Lions' Championship winning season in the Second Division. He took over as caretaker manager after Keith Stevens' departure and led Millwall to a shock cup victory over then Premiership Ipswich Town in the Worthington Cup.
Chairman Theo Paphitis paid tribute to his First Team Coach, saying "We are all devastated by this news, even though we knew Ray was very ill."
"He was a fine coach and a lovely man. We will miss him greatly."