O'Neil, who was sacked by Wolves on Sunday, was sounded out by Millwall over taking the vacant job at The Den.
However, he believes it is too soon to return to management.
Alex Neil is in the box seat to take the Championship job with Steven Schumacher also in the running.
Neil Harris stepped down from the Millwall job, with his last game a 1-0 defeat at Middlesbrough on Saturday.
The result leaves the club 13th in the Championship after 20 matches this season.
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David Livermore is currently in caretaker charge of the Lions ahead of this weekend's visit of Blackburn.
O'Neil won 20 of his 63 matches in charge of Wolves but just two of those came in the Premier League this season.
Last weekend's 2-1 home defeat to Ipswich was their fourth in a row and left the club 19th in the table.
He has since been replaced at Molineux by former Porto boss Vitor Pereira.
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The Portuguese's appointment was confirmed by Wolves on Thursday.
Pereira will take charge of his first match on Sunday away to Leicester.
Meanwhile, both Neil and Schumacher are currently without clubs themselves.
Neil has been out of the dugout since leaving Stoke in December 2023 following 16 months in charge.
His previous Championship clubs include Sunderland, Preston and Norwich.
As for Schumacher, the former Plymouth gaffer last job was also at Stoke.
However, he was sacked by the Potters in September just nine months after his arrival from Home Park.
The news of Harris' Millwall exit came just days after he branded some of the club's fans 'thickos'.
However, while he couldn't steer the team to victory in his final game in charge - a 1-0 defeat to Middlesbrough - supporters sang his name throughout the 90 minutes.
He also shared an emotional moment with fans after the match, as he walked over to thank them - later describing his dig at fans as a 'tiff'.
"It's not the first tiff I've had with Millwall fans over the years, as a player and a coach," said the former striker.
"People called it a tiff and there was maybe things in the press, but it's not really. There's certainly no anger or impact felt longer term on that, for me or the supporters.
"It was a beautiful moment for us, it was a shame it was 300 miles from home and there weren't a few more here, but I don't need that.
"I don't need that because it's been a privilege to lead this football club for so long. It's a brilliant football club, it's a unique football club and I'll be back as a supporter in the future seeing everybody.
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"It was very emotional in the changing room for me afterwards, and a lot of the players that have been with me for a long time. And my staff as well.
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"All I can do is wish the club well, make sure that the fans who have supported me relentlessly over the years support the new regime that come in."
Things weren't so rosy for O'Neil at Wolves - fans turned on the coach before he was given the boot and viciously booed him after they were hammered 4-0 at Everton at the start of December.