Millen spent most of his professional career at Brentford, where he reached the Associate Members' Cup final in 1985, and won the Football League Third Division in 1992.
He helped Brentford reach the final of the Associate Members' Cup in 1985, where they were defeated 3–1 by Wigan Athletic at Wembley Stadium.
[5] He helped the club to the Football League Third Division title in 1991–92, and earned a testimonial match against Tottenham Hotspur in 1993 following ten years as a professional.
[14] After Tony Pulis' surprise departure from Crystal Palace on 14 August 2014 (only 2 days before the start of the new Premier League season) Millen was again appointed caretaker manager.
[19] On 23 January 2018, after a brief spell working on the coaching staff at Portsmouth, Millen joined League One club Milton Keynes Dons as assistant manager.
[21] Roy Hogdson helped Halmstads BK recruit Millen as assistant manager to Igor Krulj and joined the side in January 2019.
[22] After Igor Krulj was sacked, Millen continued as assistant manager under Magnus Haglund until leaving the club at the end of the 2019 season after the team failed to advance to the Swedish top division Allsvenskan.
[23] After leaving Halmstads BK, Millen was appointed manager of Superettan side Örgryte IS, which he led for the 2020 season until being sacked in October the same year.
[24] On 26 October 2021, Millen was appointed manager of League Two side Carlisle United on an 18-month contract following the sacking of Chris Beech three weeks previously.
[28] On 18 November 2024, Millen was appointed manager of Isthmian League South East Division side AFC Croydon Athletic.