The Lions' nine-match unbeaten run came to an end at the Walkers Stadium, but it may have been a different story had Steve Morison not missed a third-minute penalty.
Lloyd Dyer quickly punished the Londoners by marking his 100th appearance for Leicester with the opening goal, but that was quickly cancelled out by James Henry's superb strike.
Ayegbeni Yakubu restore the Foxes' lead before Sol Bamba gave them a two-goal cushion at half-time. Jack Smith momentarily got Millwall back into it midway through the second half, showing Morison how it should be done from the penalty spot but Bamba scored his second goal after Lions debutant Jens Berthel Askou had been sent off for a bad tackle on Yakubu.
Jackett said: "We gave Leicester plenty of problems going forward, scoring a couple and missing a penalty, but you can't expect to take anything from a game if you concede four goals.
"But we have had to make lots of changes in defence with a lot of people out injured. But you have to take the positives and keep going."
Source: PA
Source: PA