The Latics, who lost out to Blackpool in the semi-finals last season, forced Millwall onto the back foot in the closing stages but could not add to Leon Constantine's equalising goal.
A below-par game which was played in wind-swept conditions saw Millwall look the better team for 45 minutes before tables were turned.
The visitors still went in front through big striker Bas Savage and they held on under pressure to earn a valuable point in their fight against relegation to League Two.
Both sides were badly hit by injury problems and lacked their first-choice strikers, with Gary Alexander and Lewis Grabban missing for Millwall and Craig Davies, Lee Hughes and Lewis Alessanra all out of Oldham's squad.
Oldham also lost defender John Thompson to a new knee injury in the first ten minutes and it was Millwall that got on top as midfield man Jem Karacan went close to marking his debut with a goal from 20 yards.
Jay Simpson sent a free-kick narrowly over the bar before Oldham started to improve after half-time.
Constantine was denied by a superb block from Paul Robinson and Gary McDonald lifted an effort off-target from the edge of the box.
The Latics' Mark Allott missed a golden chance when the ball dropped to him near the penalty spot and Millwall punished the mistake by scoring 14 minutes from time.
Ryan Smith set up Savage, who burst into the area and calmly rolled his shot inside the far post from ten yards.
Oldham hit back within two minutes when Chris Taylor centred from the right and Constantine thumped a six-yard header into the net via the fingertips of keeper Rhys Evans and the crossbar.
Oldham came closest to a winner when McDonald had his header cleared off the line by Ali Fuseini with only four minutes to go.