The Premier League strugglers arrive in SE16 on the back on a damaging home defeat to bottom side Wigan last weekend, and Coyle is demanding an immediate response from his players.
But the Scot insists his troops are not expecting an easy ride in South Bermondsey.
"If you have a disappointing result one weekend, the next match provides an opportunity to address that, so we move on and we are expecting a tough test at The Den," he told the club's official website.
"Millwall have shown their qualities recently; they won at Southampton in the previous round, they should have beaten Derby at home last week and had to settle for a 0-0, while they were very unlucky not to take all the points at Brighton on Tuesday night when they led twice.
"They have got a good balance of youth and experience, and so there's no doubt that it will be a extremely tough tie.
"But for our part, it's the FA Cup and it's a great opportunity to get into the last-eight of the competition.
"We are going to have to play very well because an away draw in the FA Cup is never easy.
"But if we bring the level of performance that we did against Liverpool and Arsenal, we know that we can be in the hat for the quarter-final draw."