The Sky Blues took the lead after nine minutes when Viktor Gyokeres forced his way into the box before firing into the bottom corner.
Millwall levelled after 21 minutes through George Saville, whose side-foot finish took a wicked deflection before it ended up in the net.
The Lions thought they were in front just before half-time but Tom Bradshaw's header was ruled out for offside.
The second half was played at a frantic pace with neither side seeming happy with a draw, but they produced few clear-cut chances and had to settle for a point apiece.
Coventry took an early lead after Dominic Hyam was allowed to carry the ball forward and feed Gyokeres who slotted home his fifth goal of the season.
Millwall could have levelled through Matt Smith in the 17th minute but for Hyam's last-ditch challenge just as the striker was about to pull the trigger.
But the Lions equalised shortly afterwards when Saville ran on to Jed Wallace's neat cut-back and his effort took a huge deflection, leaving goalkeeper Simon Moore stranded.
The equaliser shifted the momentum Millwall's way and the home side built pressure, Scott Malone testing Moore with a fierce shot from a tight angle after 38 minutes.
Coventry should have regained the lead a minute later when Gyokeres turned Ryan Leonard, stormed down the left and delivered a teasing cross, but Matt Godden could not make contact and Todd Kane shanked his effort wide.
Gyokeres went close again on the stroke of half-time before Millwall had the ball in the net through a bullet header from Bradshaw. The goal was chalked off, however, much to the home fans' displeasure.
Millwall goalkeeper Bartosz Bialkowski produced two brilliant saves either side of half-time to keep the game level, stopping Gyokeres' shot from close range before he blocked Godden's low effort with his feet two minutes after the break.
Bradshaw drew a fine save from Moore just before the hour mark, heading Smith's flick-on goalwards but the keeper tipped it around the post at full stretch.
Callum O'Hare had a good opening after 65 minutes but fired over and Gyokeres should have been more selfish three minutes later, opting to try to find Godden rather than shooting himself inside the area.
Coventry came close to a winner eight minutes from time when Ben Sheaf's cross almost fell into Tyler Walker's path, but he was denied by good defending from Murray Wallace.
And Jed Wallace almost found Billy Mitchell with two minutes to go, but his dinked cross was just beyond the substitute at the back post.