Gradel struck with a penalty in the 75th minute and then with a solo effort a minute from the end.
Millwall have only themselves to blame because for an hour they dominated and even missed a penalty.
In a tepid first half the best chances also fell to Millwall with Bournemouth keeper David Forde touching over a Neil Harris overhead kick and then getting down to parry a fierce left-foot shot from David Martin.
Millwall continued their domination and in the 57th minute a header from Bas Savage was cleared from the line by Shaun Cooper.
But Millwall's best chance came in the 63rd minute when Danny Hollands fouled Jem Karacan to concede a spot-kick.
But Harris saw his penalty saved by Forde as he dived to his right and from the rebound Ahmet Brkovic shot wide of an open goal.
Ford made another outstanding save in the 66th minute when he leapt to turn over a 20-yard free-kick by Brkovic, but then Millwall faded.
Bournemouth substitute Brett Pitman hit the outside of a post from 20 yards before Millwall conceded a penalty.
Paul Robinson was adjudged to have pushed Sam Vokes and Gradel punished Millwall further by scoring with the penalty.
In the last minute Gradel beat three defenders on the edge of the area before scoring with a right-foot shot for his tenth of the season.
Bournemouth still need to close a gap of nine points on Crewe, but have only five matches left to escape the drop.