ED Upson insists he did not dive against Watford after revealing referee Simon Hooper ruled there was "not enough contact" on him to warrant a penalty.
Upson appeared to be brought down as he skipped past Ben Watson and Tommie Hoban inside the area but the Lions' appeals for a spot-kick were turned down.
That incident came moments before Matej Vydra volleyed the Hornets ahead.
And Upson, asked afterwards whether it should have been a penalty, said: "Yeah, definitely.
"The referee said there was contact but not enough contact. I was running at goal in the penalty area so I don't know how much contact he wants there to be.
"I'm disappointed because I'm not the sort of person that dives or goes down. I said that to the referee, and he said 'I know that', but he felt there wasn't enough contact.
"The Watford players thought I dived, but then they would make out that I had to try to take the heat off themselves."
Millwall hung in the game after falling behind and went close to equalising shortly after half time when Shaun Williams' free kick brushed the side netting.
But Adlene Guedioura tapped in the killer second goal ten minutes later to put daylight between the sides.
The Lions kept battling away at 2-0, however, and had several good chances to reduce the deficit – notably when Aiden O'Brien burst through on goal.
Upson added: "I thought we played well. The feeling in the camp is obviously one of disappointment because we didn't win or pick up a point when we certainly needed to.
"But everyone in the dressing room is still feeling upbeat, and no matter what happens we've got to keep our heads up really.
"The first goal was brilliant to be honest. There's not much you can do about that, you can't stop goals like that. Then you're 1-0 down and chasing the game.
"We were playing against a good team who are right up there and they were very professional in their performance.
"But I don't think we stopped trying or gave up, and we should be proud of ourselves for that.
"We're trying so hard and while that wasn't enough on Saturday, it will be on other days. We could've got something from it but two bits of quality made the difference."
Upson added that, since Neil Harris took charge, Millwall are feeling more relaxed about playing at The Den – thanks in part to the renewed support of the fans.
"The fans were great on Saturday," he said. "They really stuck with us because they can see how much effort we're putting in and how hard we're trying.
"When we went out for a warm-down after the game, some were coming out of the boxes to say well done and clap us.
"They want to see 100 percent in every game and we're giving that."
Defeat to the Hornets was Harris' first on home soil since his appointment on an interim basis but Upson has backed the Lions legend to get the job full-time.
"He's a manager who you want to do well for," Upson said. "He understands the club and the fans, and he puts that across to the players.
"I really like him and all the lads in the dressing room are right behind him. It'd be great to see him as the main man on a permanent basis."