Tilson, who led Southend to the League One title two seasons ago, has been a long-admired by many Lions fans for the way he turned The Shrimpers around and was the prefered choice when Nigel Spackman was sacked last season.
"I had a call from Millwall's chief executive expressing an interest in Steve but he won't be going there," confirmed Southend Chairman Ron Martin.
"He is on their shortlist but Steve has no interest in going there and even if he did I would have refused Millwall permission to talk to him."
Interviews for the managerial post at Millwall have been continuing all week but The Lions' board are having no luck when it comes to speaking to managers at other clubs, with Tilson the third to be refused permission to talk to Millwall.