MILLWALL couldn't claw back a two-goal deficit from the first leg against Oxford United, who moved into the Johnstone's Paint Trophy final in April despite a 1-0 defeat.
Lee Gregory gave the Lions the lead and some hope when he turned sharply in the box to finish Aiden O'Brien's cross to the net in the 54th minute.
But the Lions' task was made even more difficult in the 65th minute when Mark Beevers received a red card.
Callum O'Dowda almost drew Oxford level from the free-kick that resulted but Jordan Archer pulled off an excellent save.
Alex MacDonald then shot low with Millwall conceding space as they pressed for a second only for Archer to again make the save.
Neil Harris sprung Fred Onyedinma from the bench to replace Ed Upson, but Millwall couldn't find that crucial goal that would have sent the tie to penalties.
JPT journey ends – but it wasn't all in vain
There's no doubt the Johnstone's Paint Trophy has been good for Millwall this season.
Their 1-0 win over Peterborough in round one and the nature of it – an injury-time goal from Shaun Williams when it looked like the winless run at The Den would extend to six games – gave the side belief.
Harris then had the relatively win-win opportunity to give Joe Martin and George Saville their debuts in the next round against Northampton, before Lee Gregory bumped up his goal tally with four in the 5-3 win over Plymouth.
In December, after Harris had questioned his team's attitude in the FA Cup defeat to Wycombe, he watched his side respond with a 2-0 win at Southend in the area semi-final, a result they bettered in the league when they won 4-0 at Roots Hall in their last game of 2015.
The competition has provided infusions of confidence at key points in the season. There will be disappointment at not reaching Wembley, but acknowledgement of the value of the cup run.
Oxford don't give an inch
Millwall started this game positively, but without really pulling Oxford out of their shape.
You could see the plan: Get the ball directly to Steve Morison and Gregory. The problem was in the first half that Johnny Mullins and Jake Wright were comfortable dealing with that tactic and Oxford were compact enough to have enough players around the edge of the box to clear the ball.
Millwall's strategy fed into Oxford's, too, with Kemar Roofe and MacDonald in particular looking dangerous when they ran at Millwall's defence.
It didn't help either that Byron Webster and Beevers looked so nervy when the ball was cleared to them. Roofe was aware of it and was quick to close down leading to hurried clearances and more pressure on the defence.
Oxford were clearly also aware of the potential of Jed Wallace to cause them problems, with John Lundstram disciplined and diligent enough to help his left-back Joe Skarz. Wallace tested Benji Buchel once before the break with an awkward shot that bounced just in front of him.
Meanwhile, Liam Sercombe started to show his class and Oxford were the more constructive side. They thought they'd won a penalty when the ball bounced off Jimmy Abdou's arm – and it looked more of a spot-kick than the one Millwall got late in the game against Crewe last weekend.
It seemed like it was going to need a fortuitous break in the box for Millwall to create a scoring opportunity and when it came it wasn't quite that unsophisticated. O'Brien, who had been relatively quiet and struggling to get anything from 18-year-old on-loan Everton right-back Jonjoe Kenny, sent a cross-shot into the box. It went behind Gregory but his touch and turn set up the chance to shoot past Buchel from six yards.
That nervousness that was evident in the centre-back pairing manifested itself again less than 10 minutes later. Beevers had just been booked for stopping an Oxford counterattack when he then got on the wrong side of Danny Hylton and fouled the striker on the edge of the box. Referee Scott Duncan produced a red card, the defender's second of the season.
Millwall left more space at the back as they looked to rescue the tie and Archer went forward for one last free-kick that he got a touch to but Martin flicked the ball wide.
It was a commendable effort and there will certainly be some pride at the way they went about it.
Oxford have the talent to win promotion
It won't be much of a consolation to Millwall fans but this is a really good Oxford side.
Whether they win promotion or not, some of these players will certainly be playing at a higher level next season.
There were 10,138 at the Kassam Stadium on Tuesday night, and the majority of them will be hoping that the club can retain their most impressive performers.