Both sides had a number of chances to win the game, but couldn't find that decisive goal.
After suffering defeat at Wigan Athletic on Wednesday night, home manager Mark Robins opted to make five changes to his side. Joe Anyon continued in goal, Scott Laird, Jack King and Jordan Clarke remained in place, but Hakeeb Adelakun and Charlie Goode came in to replace Scott Wiseman and David Mirfin respectively.
Sean McAllister returned to the starting line-up in place of captain Stephen Dawson to partner Neal Bishop in the midfield. Paddy Madden was once again the central figure up front, while Kevin van Veen and Darius Henderson came in for Jamie Ness and Tom Hopper.
The first chance of the game was a golden one and it came early on in the sixth minute, as Madden latched onto a clearance from Goode out of defence. As the Irishman advanced on goal it looked for all the world that he would put the Iron in front, but Millwall 'keeper Jordan Archer produced a magnificent save low down to his left.
United were almost punished for that missed opportunity ten minutes later and would have been if not for some heroics from Anyon in goal. The ball was squared to Lee Gregory on the penalty spot and the striker had what looked the simple task of slotting home from close range, but Anyon brilliantly denied him with a reflex save.
Former Millwall man Henderson then went close for United in the 19th minute with a low drive from 20 yards, but the ball drifted just fractionally past Archer's right-hand post.
There was a potential flash point moments later, as Iron striker van Veen was caught by Sid Nelson and after some cries from the Scunthorpe faithful for the Lion's defender to be dismissed, referee Richard Clark produced a yellow card.
Henderson then went close once more but, after creating space for himself inside the box, he glanced Adelakun's free-kick over the crossbar on the 23 minute mark.
The chances kept coming for the home side, this time it was stand-in captain King who had an effort on goal. Van Veen brilliantly found the defender, who had drifted in unmarked at the back post, but he couldn't get a clean contact on the ball and sliced wide.
Archer continued to be kept busy and was forced to parry a dipping volley from Laird in the 33rd minute. The ball sat up perfectly for the Iron wing-back on the edge of the area and the Millwall stopper did well to deal with the effort.
There was then nearly a moment of horror for Mark Beevers in the visitors' defence minutes later, as he almost put through his own net after a delivery from the right-hand side.
From the resulting corner there were a flurry of chances, firstly King saw his downward header saved and then from the follow-up Henderson had an effort which was deflected over Archer's goal.
Robins' side were doing everything but score, and van Veen must have thought his long range effort was destined for the top corner. It was agony for the Dutchman as the ball thundered against the underside of the crossbar.
United must have gone in at the break wondering just how they weren't leading, but somehow the game remained goalless as referee Clark blew to signal the end of the half.
The visitors nearly made a dream start to the second half when Ben Thompson burst through the Iron defence and unleashed a venemous drive from the edge of the box. Anyon was scrambling, but the shot flashed wide of his right hand post.
The hosts went straight up the opposing end and almost took the lead themselves. Adelakun created half a yard for himself and pulled the ball back to Henderson, Archer again showed good reactions and denied the striker from close range.
It was turning out to be a lively start to the second half, the visitors from the Den threatened to take the lead again as Steve Morison glanced a header wide on the penalty spot in the 50th minute.
Van Veen was substituted in the 57th minute with what looked to be a slight knock. The Dutchman was replaced by Gary McSheffrey.
Soon after there was a moment of controversy, Madden planted a header into the back of the net from close range after Archer had fumbled an Adelakun effort, only to see the linesman's flag raised as he wheeled away in celebration.
It looked to be the breakthrough that the Iron deserved, after threatening to take the lead for so much of the match.
As the game entered into it's final quarter, it was United's turn to do some defending. Firstly, Goode brilliantly turned a near post cross behind for a corner. Then Anyon instinctively tipped Morison's header onto the crossbar, Goode was once again there to clear the danger after the ball rebounded back.
Neil Harris' men then felt agrieved, as King looked to have blocked a shot with his elbow. Both players and staff appealed, but nothing was given, much to the despair of the Millwall fans.
Minutes later, Robins' side were presented with their best opportunity of the game to take the lead as substitute McSheffrey was pulled down by Beevers just inside the box. However, the normally so clinical Madden stepped up and fired his kick over the crossbar.
With six minutes remaining, Lion's substitute Aiden O'Brien hit a dipping shot which stung the palms of Anyon in the Iron goal.
United continued to push for a winner and in the 87th minute Tom Hopper almost broke the deadlock, but after Clarke whipped a dangerous ball into the area, the striker flicked his header just past the post.
In the 90th minute it looked as though Madden had scored that elusive goal but, despite finding room at the back post, he placed his header into the side of the net. Even though the majority of Iron fans thought he'd won the game.
This wasn't to be the last of the drama, as up the other end Morison rattled the post from a tight angle in the 91st minute.
As the full-time whistle sounded, it was incredible that the game had finished goal-less. On another day the Iron could have won by a comfortable margin, but it just wasn't to be.
An improved performance nevertheless and one which will give the side a confidence boost ahead of their trip to Colchester United next Saturday.
Scunthorpe United: Anyon, Laird, McAllister, Madden, van Veen (McSheffrey 57), Henderson (Hopper 59), Bishop, Adelakun (Wootton 67), King, Goode, Clarke.
Substitutes not used: Daniels, Dawson, Mirfin, Wiseman.
Millwall: Archer, Cummings, Craig, Williams, Gregory (O'Brien 72), Onyedimna, Nelson (Webster 61), Beevers, Morison, Thompson, Abdou.
Substitutes not used: Forde, Cowan-Hall, Upson, Martin, Marquis.
Attendance: 3,382 (307 away).
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