Harford helped manager Kenny Dalglish lift the Premiership title in 1995 and took over the managers role when Dalglish decided to quit.
After leaving Ewood Park, Harford also had spells as manager at West Brom, QPR and Millwall.
A statement on the Millwall website said: "It is with deep sadness that Millwall Football Club announce the death of coach Ray Harford, who passed away in the early hours of Saturday morning.
"Ray, 58, had been fighting a lengthy battle against cancer and his passing will be a great loss to football."