Swansea City could not capitalise on their dominance as Casper De Norre's last-gasp strike gave Millwall all three points at the Swansea.com Stadium.
The home side controlled almost the entirety of the contest in SA1, but could not find the breakthrough they needed.
Žan Vipotnik, Josh Key, Myles Peart-Harris and Joe Allen all forced good saves from Lukas Jensen in the Lions goal, while Ronald and Florian Bianchini sent efforts narrowly wide.
But they were punished when De Norre finished from a cutback in the final minute of the 90.
Swans keeper Lawrence Vigouroux had little of note to do, but they suffered a familiar sense of frustration as their good work did not result in the reward of victory.
The Swans had shown three changes from the midweek draw at Sheffield Wednesday, with Key, Gonçalo Franco and Liam Cullen coming into the team for Kyle Naughton, Jay Fulton and Azeem Abdulai.
The Swans dominated possession early, and threatened with a sharp move that saw Cullen, Peart-Harris and Josh Tymon feed Ronald, who saw his cross blocked.
The Brazilian then dragged an angled drive from the edge of the box narrowly wide of the target, before Cullen sent an effort over after Matt Grimes had cleverly disguised his pass from a free-kick on the left-hand edge of the area.
Swansea were making all the running, and Cullen was unable to steer Key’s cross on target as it arrived with pace at the near post.
Vipotnik then forced Jensen into a sharp stop at his near post after excellent work from Ben Cabango had allowed the Slovenian to work space for a shot from the right side of the box.
Just before half-time the Swans had penalty appeals waved away when Ronald tumbled as he and Ryan Leonard tried to get to a Peart-Harris cross, while Cullen saw his low effort from a Grimes free-kick was blocked by George Saville.
The opening 45 minutes ended goalless but the Swans pressed early in the second period with another Peart-Harris delivery forcing Jensen to palm the ball away unconvincingly.
The hosts came forward again, the Lions keeper denying Key as the defender slid in to meet Josh Tymon’s cross.
Grimes then appealed for handball as his volley appeared to be blocked by a Millwall arm, but referee John Busby was unmoved.
Still the home side searched for a breakthrough heading into the final 20 minutes, Vipotnik unable to get himself on the end of an excellent inviting ball from captain Grimes.
Peart-Harris skated around Jake Cooper and sent a low ball across the box, but no white shirts were ready to react when it evaded the first defender.
Key then made a chance for himself with a driving run and fine footwork setting him up to fire a rising strike that Jensen parried.
Jensen saved again when Peart-Harris met a Tymon cross at the far post.
Swansea's frustration was compounded when Bianchini headed agonisingly wide from a Grimes delivery, and the Frenchman was then foiled by Jensen, who also smothered Allen's follow-up.
And they were would suffer late heartbreak when the visitors picked off a loose pass, and De Norre timed his run to sweep home the ball into the box.
Swansea City: Lawrence Vigouroux; Josh Key, Ben Cabango, Harry Darling, Josh Tymon; Matt Grimes (captain), Gonçalo Franco (Ollie Cooper 78), Liam Cullen (Joe Allen 66); Ronald, Myles Peart-Harris, Žan Vipotnik (Florian Bianchini 78).
Unused Substitutes: Jon McLaughlin, Jay Fulton, Nathan Tjoe-A-On, Kyle Naughton, Nelson Abbey, Azeem Abdulai.
Millwall: Lukas Jensen, Danny McNamara, Jake Cooper (captain), Japhet Tanganga, Ryan Wintle (Joe Bryan 90), Macaulay Langstaff (Mihailo Ivaonovic 72), Ryan Leonard, Duncan Watmore (Femi Azeez 72), George Saville, Romain Esse, George Honeyman (Casper De Norre 72).
Unused Substitutes: Liam Roberts, Murray Wallace, Daniel Kelly, Aidomo Emakhu, Wes Harding.
Referee: John Busby
Attendance: 15,119
