The former Swansea City boss has been considered one of the favourites for the position but Deputy Chairman Heather Rabbatts today confirmed that he was no longer interested in the vacancy.
"It is true that one of the candidates we interviewed was Kenny Jackett," Rabbatts told the club's official site. "But he subsequently communicated to us that he does not after all wish to be considered"
Rabbatts went on to assure Millwall fans that they will wait for the right man and will not be rushed into a decision.
"We have a number of very strong candidates in mind," she continued. "And we will continue to conduct our selection process with due care."
The latest name to be linked is former England international and Chelsea player John Hollins although it is believed that Martin Allen and Mickey Adams remain the bookies' favourite for the job.