Rovers had chances but poor finishing in front of goal allowed Millwall to march on as they scored two goals through Chris Woods and James Henry.
The defeat leaves Berg still looking for his first win as Rovers manager and his side sit in ninth place in the league.
"For the first goal, it's possible to stop it before Wood gets the ball," he told the club's official website.
"It's a fantastic strike but we could have done better before that.
"The second goal, we lose the ball in the centre in midfield and again they got a shooting opportunity that he took well. The biggest difference between the teams was the shooting ability."