The Tangerines went into the contest knowing that even a point would have scarcely been enough to retain their Championship status.
They managed to come from behind against the Lions on two occasions, but as they looked to find a winner, Zian Flemming scored the decisive goal to condemn Blackpool to defeat and the third-tier of English football.
Stephen Dobbie's charges got off to the worst possible start when Tom Bradshaw guided the ball home from Ryan Leonard's low cross inside two minutes.
Jerry Yates pulled the hosts level from the penalty spot before half time, but Millwall moved back in front in the 59th minute courtesy of Bradshaw's second goal of the evening.
The Tangerines showed great character to restore parity for a second time, as Lewis Fiorini produced a fizzing strike from a distance which nestled in the bottom corner.
However, Fiorini quickly went from hero to villain, bringing down Duncan Watmore in the box to present Millwall with the chance to take the lead once again.
Flemming made no mistake from the subsequent spot-kick, and with Blackpool unable to find a third equaliser, their two-season stay in the Championship was brought to an end.
Blackpool will wrap up their Championship campaign with an away trip to Norwich City, before they start to plan for life in League One.
Millwall, meanwhile, boosted their playoff hopes as they moved up to fifth position and three points clear of seventh place.