MIDDLESBROUGH wanted to sign them just a few days before Millwall's trip to Blackburn Rovers on Saturday.
The bids for George Saville and Jed Wallace were turned down before last Thursday's transfer deadline for permanent deals, and both started in the 0-0 draw at Ewood Park.
Lions boss Neil Harris admitted "speculation at this stage of the season isn't ideal", after Glasgow Rangers' interest in centre-back Jake Cooper was publicly known earlier this summer.
Millwall battled to a 0-0 draw at newly-promoted Blackburn, with Saville and Wallace central to the action.
Both went close to scoring in the first half, Wallace flashing a shot just wide and Saville's effort coming back off a post.
Harris was asked after the game about the pair following Boro's interest.
"They were good, their mentality has been great all week," Harris said. "Obviously it's been quite public, unfortunately, the interest in our players.
"That's part and parcel of football, really. When you've got good players and a good team there's going to be interest.
"Speculation at this stage of the season isn't ideal, but you get on with it.
"I thought [Saturday] the attitude of everybody was outstanding. All over the park we had some good moments and some bad moments.
"George and Jed certainly fall into that, they had some really good moments and then some others when they weren't quite at their best."
Meanwhile, the permanent window may be closed but EFL clubs can still sign players on loan.
Harris said: "We're certainly trying to get an attacking player in and if people go out on loan then we need to bring people in.
"Business really starts for us now in the loan market. What you see is there were very few transfers – because the transfer window is a waste of time – and it's not ideal for any manager having two deadline days.
"I think now you'll see a lot more loans happening. Thursday was all about permanent signings, but it means nothing because anyone can go on loan with a view to a permanent buy in January.
"Again, on record, a complete waste of time by the Football League."
Image: Millwall FC