Iain Dowie's men, who have beaten Manchester United and Blackburn Rovers in cup competitions this season, scored in both halves, which was just enough to see off plucky Millwall.
In fact the Londoners had real cause for complaint as both Coventry's goals had a whiff of controversy about them.
The home side took the lead in the 17th minute when Paul Robinson was unlucky to be penalised for handball just outside his area.
Home skipper Michael Doyle played the resulting free kick to Stephen Hughes and his shot found its way through the wall and into the net.
It was harsh on Kenny Jackett's men, but after a short period on the back foot, they began to force the pace.
Lewis Grabban, making only his second appearance after his move from Crystal Palace, twice went close.
And when they finally pulled level two minutes before the interval, Grabban played a part when he put Scott Barron away down the left. His cross fell for Jay Simpson, who still had plenty of work to do before hammering the ball into the net.
But Coventry regained their lead just seven minutes after the restart. Again Millwall were a tad unlucky when Elliott Ward appeared to foul keeper Rhys Evans when they went up for the ball.
It bounced down and fell to Dele Adebola and when his shot rebounded off a post, Michael Mifsud hit his seventh cup goal of the season.
Ali Fuseini headed a cross form Simpson wide in the 60th minute, but Coventry looked far more solid than they had in the opening period and survived fairly comfortably up to the final whistle.