The Lions showed plenty of heart but lacked the killer instinct in front of goal despite producing plenty of chances.
Given the recent form of both sides it wasn't surprising the opening exchanges were cagey.
Neither side were prepared to commit men forward and an unforced error by American Zak Whitbread created the first opportunity in the seventh minute.
The former Liverpool defender lacked commitment in the tackle with Pedj Bojic able to break clear and race into the penalty area.
He cut on to his right foot but was nailed by a superb cover tackle by Millwall captain Paul Robinson, who then recovered to make a second tackle on the Cobblers captain Scott McGleish.
The psychological impact was immediate. Millwall burst into life and should have scored one of their many chances over the next ten minutes.
In the ninth minute the tireless Chris Zebroski climbed well to meet Alan Dunne's corner but his goalbound header from six yards was cleared off the line.
In the 19th minute Maurice Ross brilliantly found Zoumana Bakayogo with a 40-yard cross-field ball but his first effort was saved and he then hit the post from an acute angle on the left.
Northampton punished Millwall with their only chance on 41 minutes. Millwall failed to clear an Eoin Jess cross and Mitchell Cole buried his left-foot drive at the back stick leaving Lenny Pidgeley no chance.
The Lions responded in the dying minutes of the first half and Robinson was unlucky to see his shot cleared from the line but Millwall had been profligate in the extreme.
The second half continued in the same manner. Marvin Elliott missed from eight yards when it seemed easier to score and Mark Bunn produced a superb double save to deny Gavin Grant from six yards on 79 minutes.