Captain Danny Shittu, who opted to miss Nigeria's African Nations Cup triumph last month so he could stay with Millwall, powered home a header from a corner after 42 minutes to put the 2004 FA Cup finalists in front.
Hosts Blackburn applied pressure in the second half but London side Millwall, led by defender Shittu, held firm to advance after the championship teams had drawn 0-0 on Sunday.
Millwall will meet surprise semi-finalists Wigan on the weekend of April 13/14 after the top-flight strugglers stunned high-flying Everton 3-0 last Saturday.