Yeovil had knocked Championship side Ipswich Town out in the previous round and looked like picking up another notable scalp as they put the Lions under pressure in a goalless first half.
Most of the effots were from long range, the best a 16th minute chip from the halfway line by Argentinean striker Pablo Bastianini.
He spotted Andy Marshall on the edge of his penalty area and his audacious long-range chip had the keeper back-tracking furiously to scramble the ball away for a corner.
Phil Jevons and Lee Johnson also brought the best out of Marshall, while at the other end Millwall's front runners huffed and puffed but threatened little.
It was a different story after the break as Millwall looked full of purpose.
Carl Asaba had a 47th minute effort disallowed for offside but in the next minute Alan Dunne tapped in at the far post after good work by Barry Hayles.
Five minutes later it was 2-0. Asaba came off best as he challenged goalkeeper Chris Weale for a bouncing ball and fired into an empty net.
Adrian Serioux floated an angled shot on to the top of the bar and Yeovil's tale of woe continued after 59 minutes when Liam Fontaine, on loan from Fulham, was sent off for a professional foul.
However, the Glovers showed their fighting spirit to come back strongly but all they could muster was an 87th minute goal by substitute Arron Davies.