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Sutton, who is the brother of Celtic's Chris Sutton, has scored 11 times this season and was previously linked with Lions back in September. However, he is keeping his feet on the ground after a deal failed to materialise the first time around.
"If it is my last game (against Kilmarnock) I would like to score the goal that gets us through to the next round", said Sutton.
"Every game you play you try to do your best and it will be no different on Saturday.
"I don't really think about being linked with teams because as far as I know I am not going anywhere."
Millwall have yet to speculate on the possible move although it is known that assistant manager Ray Wilkins has watched Sutton on several occasions.