The Saints are two points clear at the top of the Championship going into the final ten games of the season, and Adkins knows that opposition teams will look to raise their game against the south coast club.
"Everyone wants to win games of football whether that is to get promoted, get in the play-offs or avoid relegation," he told the club's official website.
"It's about personal pride and they are professional teams that want to do well and win games.
"Sometimes when there is nothing to play for you play diazepam with a lot more freedom, so if you come up against teams like that it becomes a dangerous animal."
Millwall will be looking for a repeat of their impressive 3-2 win at St. Mary's in the FA Cup last month, but Adkins played down the significance of that result.
"They got themselves through to the next round of the cup over the two rounds and we were able to utilise the squad of players we have here," he said.
"Now our focus is on them again in the league, back at The Den, and it should be a good game."